Using a different estimation period for each firm

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    Chloe Ho

    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

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    Arnie Cowan

    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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