st: z statistic for event studies

[lschoele@rumms.uni-mannheim.de]

Hi Statalist,

i am using event studies to measure abnormal returns. To measure the  
significance of the abnormal returns it is possible to either use a  
t-test or an z statistics invented by Boehmer et al. in 1991. This z  
statistics is also known as standardized cross sectional test. Does  
anyone know if there is a command for that test in stata, I could not  
find one?

Thank you very much
Lisa
*
*   For searches and help try:
*   http://www.stata.com/help.cgi?search
*   http://www.stata.com/support/statalist/faq
*   http://www.ats.ucla.edu/stat/stata/