Hi all,
My name is Polyxeni and I am a student in Finance and for my thesis I am computing an event study.I have calculated AR and CAR and now I have to make a t test. However in my event study multiple events happening at the same time hence I have to standardized CAR to test my hypothesis H0: CAR=0. I do not have so much experience hence I would like your help if my code is correct since when doing I am loosing 4 values from my event window (total of days: 7) .hence I am not able to use esttab to have my table for significance.
where dif indicates the days in the event window e.g. dif= -3,-2,-1,0,1,2,3
**testing for significance
preserve
drop if event_window==0
gen CAR_MMM2 = CAR_MMM^2
quietly describe
bys dif:gen N=_N
collapse ret AR_* CAR_* N, by(dif)
gen s_MMM_C = sqrt(CAR_MMM2 - CAR_MMM^2)
gen TS_MMM_C = sqrt(N)*CAR_MMM/s_MMM_C
egen sbar_MMM = sd(CAR_MMM)
gen TS_MMM_CR = sqrt(1/dif)*CAR_MMM/sbar_MMM
restore
Thank you in advance
All comments are welcomed
Best regards,
Polyxeni
My name is Polyxeni and I am a student in Finance and for my thesis I am computing an event study.I have calculated AR and CAR and now I have to make a t test. However in my event study multiple events happening at the same time hence I have to standardized CAR to test my hypothesis H0: CAR=0. I do not have so much experience hence I would like your help if my code is correct since when doing I am loosing 4 values from my event window (total of days: 7) .hence I am not able to use esttab to have my table for significance.
where dif indicates the days in the event window e.g. dif= -3,-2,-1,0,1,2,3
**testing for significance
preserve
drop if event_window==0
gen CAR_MMM2 = CAR_MMM^2
quietly describe
bys dif:gen N=_N
collapse ret AR_* CAR_* N, by(dif)
gen s_MMM_C = sqrt(CAR_MMM2 - CAR_MMM^2)
gen TS_MMM_C = sqrt(N)*CAR_MMM/s_MMM_C
egen sbar_MMM = sd(CAR_MMM)
gen TS_MMM_CR = sqrt(1/dif)*CAR_MMM/sbar_MMM
restore
Thank you in advance
All comments are welcomed
Best regards,
Polyxeni
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