Event study coefficients: economic magnitude and equality

[Gabriele Mauro]

Dear all,
in short-term event studies (1-day event window), I see very rarely the economic size of coefficients of explanatory variables being interpreted. I mean, it is common to discuss statistical significance and sign, but not their magnitude/effect. Also, rarely do we use a test of equality (in stata coeff1=coeff2). What would be a correct approach to interpret the economic magnitude and test the equality of coefficients (post-estimation, in a simple regression of abnormal returns on a set of explanatory variables)? Thank you in advance!

[Carlo Lazzaro]

Gabriele:
1) I assume you're referring to an OLS;
2) economic magnitude is more related to literature standards than statistics;
3) testing the equality of OLS coefficients: see -test-, -testparm-, -lincom-;
4) I'd also take a loolk at -linktest-.