Event Study based on Princeton example

[Nick Frank]

Dear Statalist,

I'd really appreciate any help. I'm running an event study on the princeton method (http://dss.princeton.edu/online_help...ventstudy.html). For some reason the event dates do not become visible in the stockdata.

use eventdates, clear
sort company_id
by company_id: gen event_id = _n
joinby company_id using "stockdata.dta"
egen group_id = group(company_id event_id)
isid group_id date, sort
save "data2useRP.dta", replace

use "data2useRP.dta", clear
by group_id: gen tradeday = _n
by group_id: gen event_obs = event_date == date
bysort group_id (event_obs): gen days = tradeday - tradeday[_N] if event_date[_N] == date[_N]

gen w_event = inrange(days,-2,2)
gen w_estim = inrange(days,-60,-31)
by group_id: egen N_w_event = total(w_event)
by group_id: egen N_w_estim = total(w_estim)

drop if N_w_event < 5
drop if N_w_estim < 30

This is a picture of a small excerpt from my data.

Thanks in advance.

[Budu Gulo]

See Robert Picard's solution : https://www.statalist.org/forums/forum/general-stata-discussion/general/1407083-event-study-with-r2000-no-observations-coding-issue .