If you know, please let me know the link or help me to resolve my query.Ĭode: * Example generated by -dataex. It could be posible that there are posts have already answered my query but I have not found yet. I want to run regress with the following characteristics: logit sick improv_water toilet tp* if interview = * - (4 days ago) Where: * is the date The use of the dummy variable is to help me identify which events have a significant impact on a sample of 16 stock market indices.Ī summary of dataset: 1) Returns and market return data - daily observations from Jan 04 to Dec 16 & 2) Events list - contains 1,324 events Gen tstat_`var' = car_`var'/(rmse_`var'*sqrt(_N))ĭrop returnmarket date_id evday evt_window dateġ) put a dummy variable in my regressions such that it identifies an event and assign a value of 0 on event date and 1 otherwise.Ģ) have several dummy variables for each of the event date in my sample.Īny ideas how I should proceed with that? Gen ar_`var' = return_`var' - phat_`var' if evt_window=1 Reg return_`var' returnmarket if est_window=1 Gen target_day = day_cnt if date=event_date Gen return_`var' = ln(`var') - ln(L.`var')ĭrop atx bel20 omxc20 omxh cac40 dax30 athex iseq mib aex obx psi20 ibex35 omxs30 smi ftse100 Local vars atx bel20 omxc20 omxh cac40 dax30 athex iseq mib aex obx psi20 ibex35 omxs30 smi ftse100 Import delimited using indices.csv, clear * Calculating indices returns and merging with market returns file Generate returnmarket = ln(market) - ln(L.market) * Calculating market returns using SP500 as proxy for market portfolio * Drop events occuring on non-trading days list b_bel20 if event_date = mdy(1,11,2005)ĭrop city perpetrator1 guncertain1 perpetrator2 guncertain2 perpetrator3 guncertain3 targettype1 targettype2 targettype3 region attacktype1 attacktype2 attacktype3 weapontype1 weapontype2 weapontype3 weapontype4 reg car bel20 if event_date = mdy(1,11,2005), nocons reg car atx if event_date = mdy(1,4,2005), nocons
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