The estudy command of Pacicco, Vena and Venegoni

[Sander Soet]

Dear,
I am writing my thesis about PE backed IPOs and their long run performace.
I used the estudy command and practiced a bit with the data_estudy.dta dataset. I however, have some important questions for my own research:
Because the estudy command of Pacicco, Vena and Venegoni in their example, uses a estimation window that has to occur before the event date, I was wondering if its even possible to do research in IPOs CARs since their event date is the date with the first available stock returns.


-because of the error message above, -Is it possible to use monthly stock returns instead of daily stock returns?

Thanks in advance!
With kind regards,

[Phil Bromiley]

You didn't get a quick answer. You'll increase your chances of a helpful answer by following the FAQ on asking questions. Avoid attaching files and pictures.

The error messages seem quite clear. However, with a user-written procedure, often only the authors are really expert in the procedure. Clearly, your first statement seems to have a problem with the window - you must figure this out first before you move forward. The second seems clear - you've got missing data when the event is.