eventstudy2 --> variable __00002G not found --> r(111);

[Dionysios Anastasopoulos]

I am running the command "eventstudy2" but I am getting the rror message

variable __00002G not found
r(111);

I am also attaching the image. Is there any way to solve it?

Thank you!

[Phil Bromiley]

You didn't get a quick answer. You'll increase your chances of a useful answer by following the FAQ on asking questions - provide Stata code in code delimiters, readable Stata output, and sample data using dataex. We generally don't like images - no way we could possibly replicate your problem from these images.

With such internal problems with user written routines, you have relatively few options. First, update all to make sure you have the current version. I'd next make sure it runs properly for some very simple data. I'd also make sure I don't have missing data (while Stata generally handles missing data well, that might not be the case for this procedure). You can open up the ado file (every such procedure you run has an ado file on your computer) and see if you can diagnose it yourself. Just adding a bunch of lists or summary statements or whatever might help you figure out the problem. Or you can contact the authors.

[Dionysios Anastasopoulos]

Hallo Phil,

Thank you very much for your answer. Please find code and sample data attached. Please note that as it seems I could not upload the *.dta files so I am uploading the equivalent *.xlsx files.

[Dionysios Anastasopoulos]

cd "F:\Thesis\STATA commands\eventstudy2\eventstudy2_example002"

pwd

import excel "marketfile.xlsx", sheet("Sheet1") firstrow clear
destring, replace
//drop if date ==.
save "marketfile.dta", replace
use "marketfile.dta", clear

describe

import excel "security_returns_file.xlsx", sheet("Sheet1") firstrow clear
destring, replace
//drop if date ==.
save "security_returns_file.dta", replace
use "security_returns_file.dta", clear

describe

import excel "eventfile.xlsx", sheet("Sheet1") firstrow clear
destring, replace
//drop if date ==.
save "eventfile.dta", replace
use "eventfile.dta", clear

describe

//destring, replace
//xtset security_id_numerical date
//tsset date security_id_numerical

//pwd
//use eventfile, clear

eventstudy2 security_id date using security_returns_file, evwlb(-1) evwub(1) eswlb(-10) returns(simple_return) model(MA) marketfile(marketfile) mar(market) idmar(marketref) risk(rf)


// ################################################## ###########################

[Dionysios Anastasopoulos]

OUTPUT
************************************************** ********************
************************************************** ********************



. do "F:\Thesis\STATA commands\eventstudy2\eventstudy2_example002\Thesis Stata_EVENTSTUDY2_001.
> do"

.
. cd "F:\Thesis\STATA commands\eventstudy2\eventstudy2_example002"
F:\Thesis\STATA commands\eventstudy2\eventstudy2_example002

.
. pwd
F:\Thesis\STATA commands\eventstudy2\eventstudy2_example002

.
. import excel "marketfile.xlsx", sheet("Sheet1") firstrow clear

. destring, replace
date already numeric; no replace
marketref already numeric; no replace
market already numeric; no replace
smb already numeric; no replace
hml already numeric; no replace
rf already numeric; no replace

. //drop if date ==.
. save "marketfile.dta", replace
file marketfile.dta saved

. use "marketfile.dta", clear

.
. describe

Contains data from marketfile.dta
obs: 815
vars: 6 2 Nov 2018 18:19
size: 28,525
----------------------------------------------------------------------------------------------
storage display value
variable name type format label variable label
----------------------------------------------------------------------------------------------
date int %td.. date
marketref byte %10.0g marketref
market double %10.0g market
smb double %10.0g smb
hml double %10.0g hml
rf double %10.0g rf
----------------------------------------------------------------------------------------------
Sorted by:

.
. import excel "security_returns_file.xlsx", sheet("Sheet1") firstrow clear

. destring, replace
security_id contains nonnumeric characters; no replace
open already numeric; no replace
high already numeric; no replace
low already numeric; no replace
close already numeric; no replace
date already numeric; no replace
simple_return already numeric; no replace
log_return already numeric; no replace
marketref already numeric; no replace

. //drop if date ==.
. save "security_returns_file.dta", replace
file security_returns_file.dta saved

. use "security_returns_file.dta", clear

.
. describe

Contains data from security_returns_file.dta
obs: 607
vars: 9 2 Nov 2018 18:19
size: 32,778
----------------------------------------------------------------------------------------------
storage display value
variable name type format label variable label
----------------------------------------------------------------------------------------------
security_id str3 %9s security_id
open double %14.2f open
high double %14.2f high
low double %14.2f low
close double %14.2f close
date int %td.. date
simple_return double %14.2f simple_return
log_return double %14.2f log_return
marketref byte %10.0g marketref
----------------------------------------------------------------------------------------------
Sorted by:

.
. import excel "eventfile.xlsx", sheet("Sheet1") firstrow clear

. destring, replace
date already numeric; no replace
security_id contains nonnumeric characters; no replace
marketref already numeric; no replace
id contains nonnumeric characters; no replace

. //drop if date ==.
. save "eventfile.dta", replace
file eventfile.dta saved

. use "eventfile.dta", clear

.
. describe

Contains data from eventfile.dta
obs: 1
vars: 4 2 Nov 2018 18:19
size: 9
----------------------------------------------------------------------------------------------
storage display value
variable name type format label variable label
----------------------------------------------------------------------------------------------
date int %td.. date
security_id str3 %9s security_id
marketref byte %10.0g marketref
id str3 %9s id
----------------------------------------------------------------------------------------------
Sorted by:

.
. //destring, replace
. //xtset security_id_numerical date
. //tsset date security_id_numerical
.
. //pwd
. //use eventfile, clear
.
. eventstudy2 security_id date using security_returns_file, evwlb(-1) evwub(1) eswlb(-10) retu
> rns(simple_return) model(MA) marketfile(marketfile) mar(market) idmar(marketref) risk(rf)
Generating dateline ...
...succeeded
Preparation of event list ...
...succeeded
Preparation of security return data...
...succeeded
Preparation of market and/or factor return data...
...succeeded
Merging event dates and stock market data...
...succeeded
Calculating abnormal returns...
variable __00002G not found
r(111);

end of do-file

r(111);

.

[John Aibinu]

Hello,

I would like to know if this issue was resolved. I am having Similar error. Variable _00002F not found r(111)

[ana cociorva]

Hi!

One of my student groups came across this issue , so i had to dig into possible reasons for it and that is how i came to this post.
In my case, the reason for this was that there weren't 20 days with return data after the event day. Eventstudy2 uses as a default -20;+20 as a maximum event window, so adjustments to the command need to be made if one needs longer or shorter window (and for shorter window, the real issue comes if there is not enough data to cover the period). inserting evwlb(-N) evwub(N) solved it for me, because they only had 5 days of data after the event (bad idea, but that is another discussion) so, upper bound had to be 5. I see above though that you included evwlb(-1) evwub(1), which constraints the possible CAR calculations to this interval; so it doesn't seem to be the same situation as mine , because i did not use evw option in the beginning. But maybe worth trying to increase the interval for evwlb(-1) evwub(1) , and then add the CARLB and CARUB for example, to fit that interval. I am not entirely sure what the command does if no interval is specified for the CAR or BHAR calculation.