Event study estimations using Stata: The estudy command
Abstract. 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.
View all articles by these authors:
Fausto Pacicco, Luigi Vena, Andrea Venegoni
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estudy, event study, financial econometrics
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