Dear Statalisters,
I need to calculate a skewness adjusted t statistic of a "xtreg,fe"
regression constant. The regression has multiple (3) independent variables.
This is necessary to test the significance of abnormal returns in a
long-term event study.
My question is similar to the following Statalist question:
http://www.stata.com/statalist/archive/2003-05/msg00243.html
The adjusted t-statistic is given in "Barber et al. 1999"
The statistic can be found on page 16 in the following paper:
http://www.people.hbs.edu/jlerner/OldIPO.pdf
The Stata code for a simple variable x with i observations would be:
*****************************************************************
**** One Sample johnson t-test as in Barber et al. 1999 ****
summarize Xi
gen mean = r(mean)
gen stddev = r(Var)^0.5
gen numobs = r(N)
gen S = (mean/stddev)
gen cubes = (Xi-mean)^3
egen sumcubes = sum(cubes)
gen jskew =sumcubes/(numobs*(stddev^3))
* johnson t-test as in Barber et al. 1999 *
gen jttest = ((numobs^0.5) *(S+1/3*jskew*S^2+(1/(6*numobs))*jskew))
********************************************************************
Does anybody have an idea how to implement this for a "xtreg, fe" regression
constant. (I do not want to use the program "johnson" - does not work for
this problem I believe)
In particular: how do I calculate the cubes variable:
"gen cubes = (Xi-mean)^3"
if mean is the regression constant
and the regression includes multiple (3) independent variables.
Thank you very much for having a look at this.
I believe an answer would be very helpful for many newbie economists trying
to implement a long-term event study.
Kind Regards,
Sebastian K�r�mi
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