Construct the standard error for the SCAR (event study)

[Johnson Ementraubt]

Dear Stata community,

I'm trying to replicate the empirical strategy of the paper from Aybar and Aysun Ficici 2009, however I'm unsure how to construct the following formula's in STATA:

Can anyone help me construct a code for this section?

Thanks in advance

[Phil Bromiley]

You'll increase your chances of a useful answer by following the FAQ on asking questions - provide Stata code in code delimiters, readable Stata output, and sample data using dataex. Being able to replicate your problem can be essential to helping you.

However, it is also expected that you make a good faith effort to solve your problem yourself. The way I'd go about the SD equation is to use egen with a bysort for m to get the firm mean for R. Next calculate the square ((R-rm)squared). Then use egen to calculate the sum of squares by m and generate to calculate the R-Rmsquare term. Then you can do the rest with generate.