Hello everyone,
I'm new to the forum and to Stata and I'm really grateful for your time and help. I've wander the forum in the quest for an hint but it seems no one has had the same kind of starting problem I have. I would like, for my Master thesis, to conduct an event study on the effects of 5 announcements of the ECB on the yields of European government bonds. I have 17 countries and their bond yields for 2years and 10 years maturities and my dataset goes from 2014 to August 2016. For each country, I'd like to calculate the 1-day variation on the 30 days prior to the announcement and then calculate the standard deviation on the 30 yield variations to run the t-test afterwards.
My questions here are how do I calculate the variation and how do I isolate the 30 yield variations prior to the announcement? I've tried to adapt the Princeton procedure but I don't manage to figure out how to do it with my data.
Thanks a lot for your answers.
Best regards
I'm new to the forum and to Stata and I'm really grateful for your time and help. I've wander the forum in the quest for an hint but it seems no one has had the same kind of starting problem I have. I would like, for my Master thesis, to conduct an event study on the effects of 5 announcements of the ECB on the yields of European government bonds. I have 17 countries and their bond yields for 2years and 10 years maturities and my dataset goes from 2014 to August 2016. For each country, I'd like to calculate the 1-day variation on the 30 days prior to the announcement and then calculate the standard deviation on the 30 yield variations to run the t-test afterwards.
My questions here are how do I calculate the variation and how do I isolate the 30 yield variations prior to the announcement? I've tried to adapt the Princeton procedure but I don't manage to figure out how to do it with my data.
Thanks a lot for your answers.
Best regards