在做事件研究法，前两天发了求助帖https://bbs.pinggu.org/thread-1192259-1-1.html，问题是想把每个事件日的数据与距事件日最近的财务数据（如EPS）对应起来
今天终于把问题解决了，基本的想法是用date命令把事件日以及财务数据公布日的天数列出来，然后进行区分，借鉴了网站上教的事件研究法处理初始数据的方法（详见http://dss.princeton.edu/online_help/stats_packages/stata/eventstudydataprep.html）想来还是把用到的命令贴出来，希望对童鞋们有用~

use 用来做每个减持事件日对应最近的EPS的.dta,clear

sort  stock_code event_date

by   stock_code event_date:gen n=_n

keep if n==1

save eventdates

by  stock_code: gen eventcount=_N

drop n

by  stock_code: keep if _n==1

by  stock_code: gen eventcount=_N

drop n

by  stock_code: keep if _n==1

sort  stock_code

keep stock_code eventcount

save eventcount

use 只有EPS每季度的数据.dta, clear

sort  stock_code

merge m:m stock_code using eventcount

use 只有EPS每季度的数据.dta, clear

sort  stock_code

merge m:m stock_code using eventcount

keep if _merge==3

drop _merge

expand eventcount

drop eventcount

sort  stock_code accounting_period

by  stock_code  accounting_period: gen set=_n

sort  stock_code  set accounting_period

save stockdata2

use eventdates, clear

drop n

by  stock_code: gen set=_n

sort  stock_code set

save eventdates2

use stockdata2, clear

merge m:m  stock_code set using eventdates2

keep if _merge==3

drop _merge

egen group_id = group( stock_code set)

save 处理好的每个减持公告日对应了全部的EPS

use 处理好的每个减持公告日对应了全部的EPS.dta

gen date1=date( event_date,"YMD")

gen date2=date( accounting_period,"YMD")

gen dif1= date1- date2

sort group_id accounting_period

by group_id:egen dif2=min( dif1) if  dif1>=0

keep if dif1== dif2

save 已经把每个减持公告日对应了距离最近的每股收益数据

use 做子市场反应的起点.dta,clear

drop set volume percent group_id p target

merge m:m stock_code event_date using 已经把每个减持公告日对应了距离最近的每股收益数据.dta

keep if  _merge==3

drop set group_id dif1 dif2 _merge

drop date1 date2

sort stock_code event_date trading_date

egen group_id=group( stock_code event_date)

save 做不同水平EPS的基础数据