calculate number of trading days in event window

[Svetlana Polyakova]

Hello dear members of Statalist,

I want calculate difference between the date (stock date) and the event date for my event window(11 days from -5 to +5). To do this, I created a variable, dif, that will count the number of days from the observation to the event date. Calculation in calendar days is easy (dif=date-event_date), but I need difference in trading days because the weekends and holidays are missing in the stock data and missing in the event window again. For example, my event is at 28.08.2014 (wednesday). If I calculate dif in calender days, the dif=-3, dif=-4, dif=+3, dif=+4 are missing in the event window. I would be happy if somebody can help me.

[Nick Cox]

Check out business calendars. http://www.stata.com/help.cgi?business_calendars

[Svetlana Polyakova]

Check out business calendars. http://www.stata.com/help.cgi?business_calendars

I have Stata10. It is possible only in stata13, right?

[Attaullah Shah]

I it is fully explained in the UCLA website, for trading days, you should create datenumber varaible, the code is copied from the UCLA website

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