Event study estimations using Stata: The estudy command

• Autores: Fausto Pacicco, Luigi Vena, Andrea Venegoni
• Localización: The Stata journal, ISSN 1536-867X, Vol. 18, Nº. 2, 2018, págs. 461-476
• Idioma: inglés
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• Resumen

  • In this article, we introduce the community-contributed command estudy and illustrate how it can be used to perform an event study customizing the statistical framework, from the estimates of abnormal returns to the tests for their statistical significance. Our command significantly improves the existing commands in terms of both completeness and user comprehension.