I am reading myself into event studies and need to regress the pre-announcement day volatility (daily) on the announcement days t0 and t1
Return(t0,t+1) = Volatility(t-5 to t-1) + Controls.
thus, I tried to create a dummy which is 0 in t-5 until t-1 and 1 in t0 and t+1. Then I set return to . if dummy not equal 1 and volatility to . if dummy not equal 0. Then:
proc reg data=regdata; model return = volatility + control1 + control2; quit;
Obviously, dependent and independent variables' data is in different observations. The program has no valid observations.
Event_time return volatility -5 0.5 -4 0.4 -3 0.6 -2 0.2 -1 0.4 0 0.05 1 0.06
How can I achieve this?
Thanks in advance!