The "stata website" you are referring to can be found here:
http://dss.princeton.edu/usingdata/stata/analysis/eventstudy.html#test2
HTH
Martin
_______________
----- Original Message -----
From: <[email protected]>
To: <[email protected]>
Sent: Wednesday, June 03, 2009 5:06 PM
Subject: st: Event studies significance test
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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