Event Study errors

[Nadeen Salah]

Hi all!!

I just started using STATA and I'm learning how to use the software on my own - which is not easy. I am trying to conduct an event study but the online resources are sort of limited particularly since I am looking at indices rather than individual companies. So my problem is that I was able to create a CAAR table but the values are positive and large which is not right, because my research is looking at the impact of crises on 25 indices. Additionally, I can't seem to do a robustness test, t-test in my case (I'm open to conducting other robustness tests). I would greatly appreciate your expert advise for what may seem to be a novice question. Thank you!

[Devra Golbe]

Hi Nadeen,

Welcome to Stata and the Stata forum. You will have much more success getting your questions answered if you follow the advice on posting found in the FAQs.

That said, here are a couple of potentially useful references to using Stata for event studies:

Princeton's guide to event studies with Stata

Subhan Ullah, Ghasem Zaefarian, Rizwan Ahmed, Danson Kimani, How to apply the event study methodology in STATA: An overview and a step-by-step guide for authors, Industrial Marketing Management,Volume 99,2021, A1-A12,

Good luck!