st: Event studies significance test

[lschoele@rumms.uni-mannheim.de]

Dear Statalist,

I have a question about testing the significance across all events. I  
copied the text, that is on the stata website:

Testing Across All Events
Instead of, or in addition to, looking at the average abnormal return  
for each company, you probably want to calculate the cumulative  
abnormal for all companies treated as a group. Here's the code for that:

reg cumulative_abnormal_return if dif==0, robust
The P-value on the constant from this regression will give you the  
significance of the cumulative abnormal return across all companies.  
This test preferable to a t-test because it allows you to use robust  
standard errors.

My question: How is this test called, that is used here and why is it  
better than a t-test?

Thank you very much
Lisa

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