'i' invalid name, can someone help? :)

[Guest]

Hi,

I am trying to do an event study for my thesis to eventually get the cumulative abnormal returns. I want to do predict the expected return based on CAPM, the FF three-factor model and four-factor model. I tried doing it for CAPM with mktrf only. Below is the code I have so far. I got the code from a guide from Princeton (https://dss.princeton.edu/online_hel...ventstudy.html) which I adjusted to my own variables and event time window (estimation window [-131,-21] and event window [-20,5]. Everything works until I tried to estimate the normal performance.
When I try to execute the forvalues command, I get the following error: ' i invalid name'.

Can someone explain me how I can solve this?
I do not have a lot of experience with Stata so I am not sure where and what to do with i.


The code so far:
rename co_id company_id
rename anndats event_date
sort company_id date
by company_id: gen datenum=_n
by company_id: gen target=datenum if date==event_date
egen td=min(target), by(company_id)
drop target
gen dif=datenum-td

*event window [-20,5]
*estimation window [-130,-21]
by company_id: gen event_window=1 if dif>=-20 & dif<=5
egen count_event_obs=count(event_window), by(company_id)
by company_id: gen estimation_window=1 if dif<-21 & dif>=-130
egen count_est_obs=count(estimation_window), by(company_id)
replace event_window=0 if event_window==.
replace estimation_window=0 if estimation_window==.

tab company_id if count_event_obs<5
tab company_id if count_est_obs<109

drop if count_event_obs < 5
drop if count_est_obs < 109

*everything above worked, with the commands below I got the error

gen predicted_return1=.
egen id=group(company_id)
summarize id
forvalues i=1(1)5790 {
l id company_id if id=='i' & diff==0
reg ewretd mktrf if id==`i' & estimation_window==1
predict _p if id==`i'
replace predicted_return1 = _p if id==`i' & event_window==1
drop _p
}

gen predicted_return=. and egen id=group(company_id) worked.
Maximum N for id is 5790.
But after that I get the error: 'i invalid name'
Hopefully someone can help me, it would be much appreciated!!

[Sven-Kristjan Bormann]

Replace the line

l id company_id if id=='i' & diff==0

with

l id company_id if id==`i' & diff==0

The problem is the first ' , instead you need ` . These two signs might look similar to you and me, but for Stata it makes a difference. The characters `' are used to denote a local macro. In your case, the macro has the name i and is your counter in the loop.

[Guest]

It is running now, so I think it works. Thanks a lot!