The following way I am replicating the event study command for my project which I'm replicating from Dr. Huntington Klein's website (https://lost-stats.github.io/Model_E...t_study.html#r) I attached the picture of coding, if you want to copy paste it , then you can go to the given link in the above line to see the coding ( in the stata section ).
The problem is I don't know how to test for joint significance for leads and lags this way. Could anyone give me a suggestion on this how can I test for the joint significance of leads ( like Damian Clarke did in his panel event study working paper in IZA http://ftp.iza.org/dp13524.pdf )
In Damian Clarke working paper ( 2020 ) they test the join significance of lags like this :---
test lag21 lag20 lag19 lag18 lag17 lag16 lag15 lag14 lag13 lag12 lag11 lag10 lag9 lag8 lag7 lag6 lag5 lag4 lag3 lag2
Any idea how can I do the same for the following method. Thanks in advance !
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