继续求帮助

我现在也遇到同样的问题，楼主你最后怎么解决的？

还没有解决，暂时放下了这个问题。
我想等以后有时间了可以换个思路来解决这个问题。

sort companyid date
by companyid: gen datenum=_n
by companyid: gen target=datenum if date==Eventdate
egen td=min(target), by(companyid)
drop target
gen dif=datenum-td

by companyid: gen event_window=1 if dif>=-10 & dif<=30
egen count_event_obs=count(event_window), by(companyid)
by companyid: gen estimation_window=1 if dif<-20 & dif>=-220
egen count_est_obs=count(estimation_window), by(companyid)
replace event_window=0 if event_window==.
replace estimation_window=0 if estimation_window==.


tab companyid if count_event_obs<20
tab companyid if count_est_obs<100
.
  drop if count_event_obs < 20
drop if count_est_obs < 100

set more off /* this command just keeps stata from pausing after each screen of output */

gen predicted_return=.
egen id=group(companyid)
/* for multiple event dates, use: egen id = group(group_id) */
forvalues i=1(1)569 { /*note: replace N with the highest value of id */
        l id companyid if id==`i' & dif==0
        reg ln_return ln_Mktreturn if id==`i' & estimation_window==1
        predict p if id==`i'
        replace predicted_return = p if id==`i' & event_window==1
        drop p
}  



sort id date
gen abnormal_return=ln_return-predicted_return if event_window==1
by id: egen cumulative_abnormal_return = sum(abnormal_return)

sort id date
by id: egen ar_sd = sd(abnormal_return)
gen test =(1/sqrt(41)) * ( cumulative_abnormal_return /ar_sd)
list companyid cumulative_abnormal_return test if dif==0


reg cumulative_abnormal_return if dif==0, robust

以上是我计算CAR的do文件里面的，你自己改一下参数就可以