Event study in Stata
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I need a code for event study in Stata.
Each data file to be analyzed has only one company with 'multiple events' in it.
Event dates are identified byvariable "date_num" and if " date_num != . ".
Moreover, for estimation period, I need both estimation window of 30 days (or another period) from the previous returns, "Return" variable, and previous returns on a benchmark, "index_ret" variable".
A sample file is attached.
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