In the default two-step event study method where parameters are estimated over a non-event period (linear model coefficients if any, variance, percent positive, etc.), the timing and length of the estimation period can be controlled by the Est= and EstLen= options of the Request statement. Sometimes having the same number of trading days or months between the event and the estimation period isn't desirable. For example, where two events for the same firm occur close to each other in calendar time, you may want to have the estimation period for the second event to be based on the first event date or vice versa.
The Est=Specific option of the Request statement lets you provide the date on which the estimation period ends in the request file. If the request file is a SAS data set, use column name EstEnd (for calendar dates) or CRSPEst (for CRSP dates). If the request file is a text file, the estimation date column must immediately follow the event date column(s).
If you want to make the estimation period end a specific number of days or months before or after a reference date, such as a nearby other event date, the attached sample code may help.
Comments
2 comments
Hi Arnie,
I'm running non-CRSP Eventus in SAS, and ran in to the same problem as this. Unfortunately, I am unable to adopt these codes and failed to modify it to make it work. How would the codes differ for my case?
Many thanks,
Chloe
DateConv, which is a key part of the sample programs, is mainly used with CRSP. For non-CRSP, I would suggest you provide the calendar event date on which you want the estimation period to end (variable name EstEnd if the request file is a SAS data set) and not use the DateConv steps or the datefmt=CRSP option.
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