I am trying to calculate the value weighted return for an event window. The paper I am attempting to replicate has in the results VWRET and a t-stat for each event. There are multiple events. But, I am just looking at one right now. The event window is 1/15/2002 - 1/18/2002 and the event is on 1/17/2002. I have a sample of 6500 US companies returns and the file is set up with the returns for each day 1/15-1/18 and a variable called event. This event is number 1. I calculated the mean based on the event 1 for the companies in my sample. Is this not the way to do it? Because my result is -.002 and the result in the paper for the same window is -.0103. I am using proc means to get the mean over the four day window. Also, what test do I run to get the t-statistic. I am teaching myself how to do this. Am I completely wrong in my approach?

I cannot use eventus because my control is foreign returns. I also have to calculate the foreign returns for the event window. Therefore, I need to know how to do this correctly. I have researched on the internet, but have not found information that can help me. Please help!

Thanks in advance!