Run abnormal-return event studies from Stata on the
eventstudytools.com research API:
est_arc uploads your data, runs the calculation on the server and
downloads the result files.
Works on Stata 14+ (Windows, macOS, Linux). Requires the curl
command line tool, which ships with Windows 10+, macOS and most Linux
distributions.
net install est_arc, from("https://raw.githubusercontent.com/EventStudyTools/stata-wrapper/main")or copy est_arc.ado and est_arc.sthlp into your personal ado
directory (sysdir shows it, usually PERSONAL).
Request your free API key at eventstudytools.com/api-key.
est_arc, apikey("YOUR_API_KEY") ///
requestfile("01_RequestFile.csv") ///
firmdata("02_FirmData.csv") ///
marketdata("03_MarketData.csv") ///
destdir("results")
import delimited "results/caar_results.csv", delimiter(";") varnames(1) clearSample data (20 US firms, S&P 500 benchmark) lives in
examples/data/; a runnable do-file in
examples/run_arc.do.
| Option | Values | Default |
|---|---|---|
app() |
arc, avc, avyc |
arc |
benchmarkmodel() |
mm, mm-sw, mam, cpmam, ff3fm, ffm4fm, ff5fm, garch, egarch, capm |
mm |
returntype() |
log, simple |
log |
nontradingdays() |
later, earlier, keep, skip |
later |
resultfiletype() |
csv, xls, xlsx, ods |
csv |
teststatistics() |
see help file | six workhorse statistics |
destdir() |
directory | results |
deadline() |
seconds | 600 |
See help est_arc after installation for the full reference including
input file formats.
Semicolon-separated CSV files without header rows, dates as
dd.mm.yyyy:
- Request file: Event ID; Firm ID; Market ID; Event date; Grouping variable; Event window start; Event window end; Estimation window end; Estimation window length
- Firm data: Firm ID; Date; Closing price
- Market data: Market ID; Date; Index value
ar_results.csv, car_results.csv, aar_results.csv,
caar_results.csv, analysis_report.csv, results_table_export.txt —
all semicolon-separated, ready for import delimited.
MIT