Full references please:
http://www.sciencedirect.com/science/article/B6VBX-45KNKXM-49/2/fa1d0d3a46d182c75ff15774172eff5c
HTH
Martin
_______________
----- Original Message -----
From: <[email protected]>
To: <[email protected]>
Sent: Thursday, June 04, 2009 4:22 PM
Subject: st: z statistic for event studies
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
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