Event study moving average outside event window

[Bilal Hafeez]

The following panel data provides information about the firm event PERMCO_ED which is unique. DATE is the relative time period and Adjvol. I want to calculate the average 100 days of Adjvol but the moving average should be outside of the event window (-40 days to +20 days).

For example:
For the Date +20, the 100 average should be calculated from the day -140 to -40
For the Date 0, the 100 average should be calculated from the day -160 to -60
For the Date -20, the 100 average should be calculated from the day -180 to -80

I am not sure how to apply the rangestat in this situation.

Thank you

* Example generated by -dataex-. To install: ssc install dataex
clear
input float PERMCO_ED int DATE long Adjvol
1 -200 268970737
1 -199 254621017
1 -198 284856495
1 -197 238195664
1 -196 139782594
1 -195 106324701
1 -194 132858383
1 -193 158869284
1 -192 115975783
1 -191 101560004
1 -190 139035414
1 -189 119769111
1 -188 129587584
1 -187 124977699
1 -186  86608032
1 -185 103595982
1 -184  92348088
1 -183 124278567
1 -182 146062476
1 -181 187834983
1 -180 190051918
1 -179 165848802
1 -178 181743877
1 -177 152931821
1 -176 129566486
1 -175  85532237
1 -174  99752072
1 -173 137928294
1 -172 128116352
1 -171 135581950
1 -170 145686415
1 -169 101156153
1 -168 104770806
1 -167  99302035
1 -166  90747034
1 -165 154006398
1 -164 113511286
1 -163  76716304
1 -162  90346424
1 -161  87052763
1 -160 114742670
1 -159  94312393
1 -158  93371145
1 -157  84837879
1 -156  73672032
1 -155  79691752
1 -154  72547307
1 -153  53363555
1 -152  73715229
1 -151 110262369
1 -150 104357120
1 -149  63897407
1 -148 126637518
1 -147 109830441
1 -146  98698628
1 -145 134522381
1 -144 122870111
1 -143 111570277
1 -142  81682076
1 -141  78693671
1 -140  77005922
1 -139  65855461
1 -138 113615243
1 -137 103336667
1 -136 129038049
1 -135 153578320
1 -134 229035331
1 -133 106493205
1 -132 105266714
1 -131  98850577
1 -130 120396101
1 -129 101132766
1 -128  87143602
1 -127  90676250
1 -126  79556939
1 -125  76511890
1 -124  63672812
1 -123  57511265
1 -122  51085202
1 -121  73211411
1 -120  89419785
1 -119  66868956
1 -118  67037481
1 -117 115667860
1 -116 160322134
1 -115 214307079
1 -114 148507415
1 -113 110373935
1 -112 114586353
1 -111 112624589
1 -110  70190813
1 -109  54425413
1 -108  79182467
1 -107  89481931
1 -106  96674424
1 -105  87775030
1 -104 102493412
1 -103  86692907
1 -102 128618490
1 -101 131831749
1 -100 186071333
1  -99 156476292
1  -98 157295894
1  -97 104198941
1  -96  97781495
1  -95  85217993
1  -94  87568866
1  -93 147432418
1  -92 168954856
1  -91 136149356
1  -90 150434312
1  -89 155247134
1  -88 140318675
1  -87 142514785
1  -86 164344439
1  -85 110497807
1  -84  96396678
1  -83 155338225
1  -82 168217532
1  -81 220306149
1  -80 133934171
1  -79 143254783
1  -78 120344875
1  -77 113049986
1  -76 141895502
1  -75 100977604
1  -74 124536293
1  -73 195004446
1  -72 143557666
1  -71 185221575
1  -70 145922714
1  -69 172709726
1  -68 265627642
1  -67 134346408
1  -66  91638505
1  -65 151876788
1  -64 133739529
1  -63  94018211
1  -62 200381342
1  -61 265890177
1  -60 233507722
1  -59 130170775
1  -58 133061642
1  -57 120379231
1  -56 196606746
1  -55 317112705
1  -54 204888614
1  -53 159143229
1  -52  92824662
1  -51  66807601
1  -50 157119123
1  -49 133654129
1  -48 130570706
1  -47 128593787
1  -46  98735329
1  -45  91647234
1  -44 159217800
1  -43 259259406
1  -42 292751060
1  -41 195241515
1  -40 157637774
1  -39 148860061
1  -38 126722820
1  -37 162854160
1  -36 262598931
1  -35 198768892
1  -34 163460388
1  -33 117769484
1  -32 129413130
1  -31 155147811
1  -30  45768856
1  -29  79048368
1  -28 119403410
1  -27  92875783
1  -26 172342107
1  -25 147260365
1  -24  93079714
1  -23 154612668
1  -22 126121317
1  -21 118417425
1  -20 106106182
1  -19 155383235
1  -18  90568618
1  -17 191143393
1  -16 228637486
1  -15 179287934
1  -14 118378036
1  -13 122366874
1  -12 120434104
1  -11 225132299
1  -10 372658713
1   -9 312097086
1   -8 203482839
1   -7 148243494
1   -6 108580234
1   -5  82828123
1   -4 140175245
1   -3 124764325
1   -2 148266349
1   -1 154359758
1    0 182723765
1    1 165041828
1    2 134330805
1    3 158631340
1    4 123511297
1    5  92139404
1    6 102209030
1    7 112584521
1    8 123600799
1    9 116841053
1   10  86196761
1   11  97424292
1   12 131801614
1   13 153373829
1   14  83967086
1   15 144812829
1   16 152943917
1   17 166884431
1   18 119693133
1   19 121617398
1   20 102627742
1   21 123490010
1   22 121616425
1   23 105351057
1   24  79428531
1   25 166699778
1   26 156891679
1   27 138683853
1   28  79814847
1   29 100521904
1   30 102594947
2 -200 185221575
2 -199 145922714
2 -198 172709726
2 -197 265627642
2 -196 134346408
2 -195  91638505
2 -194 151876788
2 -193 133739529
2 -192  94018211
2 -191 200381342
2 -190 265890177
2 -189 233507722
2 -188 130170775
2 -187 133061642
2 -186 120379231
2 -185 196606746
2 -184 317112705
2 -183 204888614
2 -182 159143229
2 -181  92824662
2 -180  66807601
2 -179 157119123
2 -178 133654129
2 -177 130570706
2 -176 128593787
2 -175  98735329
2 -174  91647234
2 -173 159217800
2 -172 259259406
2 -171 292751060
2 -170 195241515
2 -169 157637774
2 -168 148860061
2 -167 126722820
2 -166 162854160
2 -165 262598931
2 -164 198768892
2 -163 163460388
2 -162 117769484
2 -161 129413130
2 -160 155147811
2 -159  45768856
2 -158  79048368
2 -157 119403410
2 -156  92875783
2 -155 172342107
2 -154 147260365
2 -153  93079714
2 -152 154612668
2 -151 126121317
2 -150 118417425
2 -149 106106182
2 -148 155383235
2 -147  90568618
2 -146 191143393
2 -145 228637486
2 -144 179287934
2 -143 118378036
2 -142 122366874
2 -141 120434104
2 -140 225132299
2 -139 372658713
2 -138 312097086
2 -137 203482839
2 -136 148243494
2 -135 108580234
2 -134  82828123
2 -133 140175245
2 -132 124764325
2 -131 148266349
2 -130 154359758
2 -129 182723765
2 -128 165041828
2 -127 134330805
2 -126 158631340
2 -125 123511297
2 -124  92139404
2 -123 102209030
2 -122 112584521
2 -121 123600799
2 -120 116841053
2 -119  86196761
2 -118  97424292
2 -117 131801614
2 -116 153373829
2 -115  83967086
2 -114 144812829
2 -113 152943917
2 -112 166884431
2 -111 119693133
2 -110 121617398
2 -109 102627742
2 -108 123490010
2 -107 121616425
2 -106 105351057
2 -105  79428531
2 -104 166699778
2 -103 156891679
2 -102 138683853
2 -101  79814847
2 -100 100521904
2  -99 102594947
2  -98 130594912
2  -97  76568940
2  -96  86567152
2  -95 115373244
2  -94 102612349
2  -93 138609898
2  -92  96040917
2  -91  94438981
2  -90 102040932
2  -89  78757581
2  -88  80511137
2  -87  99401309
2  -86  86315215
2  -85  62608343
2  -84  84204337
2  -83  80524374
2  -82 248391451
2  -81 176196384
2  -80 159378947
2  -79 113676913
2  -78 176988567
2  -77 251463849
2  -76 100118767
2  -75 195723178
2  -74 165057900
2  -73 179147129
2  -72 131677693
2  -71 109591587
2  -70  93441887
2  -69 128549099
2  -68 124950490
2  -67 122652334
2  -66 103098989
2  -65  87319855
2  -64  81317502
2  -63 116005400
2  -62 192352860
2  -61 156743580
2  -60 111046600
2  -59 117482624
2  -58 118334552
2  -57 115745518
2  -56  92189531
2  -55  72554615
2  -54 100596370
2  -53  86563295
2  -52  92151584
end

[Nick Cox]

rangestat is from SSC as you are asked to explain (FAQ Advice #12).

I don't know what you tried, as you don't show us, but your problem sounds like

rangestat AdjVol, int(DATE -160 -60) by(PERMCO_ID)

except that this is an average over 101 dates, not 100. The point is that -160 -60 are offsets, not numeric values to be taken literally.

[Bilal Hafeez]

I looked at one of your previous replies to another post of mine and I have come up with a modified version of that specific command. The results seem to be accurate, I had verified the calculation in excel and they seem to be an exact match.

I employed the following code:

gen low= DATE-160
gen high= DATE-60
rangestat (mean) Mean_Adjvol= Adjvol , by( PERMCO_ED ) interval( DATE low high)

Thank you!