Hi, I have a time series of stock returns with multiple event date indicators, such as the following:
date return event
01jan2015 -0.2 0
02jan2015 1.2 1
03jan2015 0.3 0
04jan2015 0.4 0
05jan2015 -0.3 1
06jan2015 -0.1 0
I would like to create a new variable (timeToEvent) that takes the value of number of days from the event within a 3-day window around each event, where day 0 is each event day. The events are all spread apart by at least 3 days. For instance, it would look like this:
date return event timeToEvent
01jan2015 -0.2 0 -1
02jan2015 1.2 1 0
03jan2015 0.3 0 1
04jan2015 0.4 0 -1
05jan2015 -0.3 1 0
06jan2015 -0.1 0 1
How may I do this?
date return event
01jan2015 -0.2 0
02jan2015 1.2 1
03jan2015 0.3 0
04jan2015 0.4 0
05jan2015 -0.3 1
06jan2015 -0.1 0
I would like to create a new variable (timeToEvent) that takes the value of number of days from the event within a 3-day window around each event, where day 0 is each event day. The events are all spread apart by at least 3 days. For instance, it would look like this:
date return event timeToEvent
01jan2015 -0.2 0 -1
02jan2015 1.2 1 0
03jan2015 0.3 0 1
04jan2015 0.4 0 -1
05jan2015 -0.3 1 0
06jan2015 -0.1 0 1
How may I do this?
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