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From |
"Gordon Gecko" <GGecko@gmx.de> |

To |
statalist@hsphsun2.harvard.edu |

Subject |
st: Barber style Johnson ttest of regression constant |

Date |
Sun, 25 Sep 2005 13:08:27 +0200 (MEST) |

Dear Statalisters, I need to calculate a skewness adjusted t statistic of a "xtreg,fe" regression constant. The regression has multiple (3) independent variables. This is necessary to test the significance of abnormal returns in a long-term event study. My question is similar to the following Statalist question: http://www.stata.com/statalist/archive/2003-05/msg00243.html The adjusted t-statistic is given in "Barber et al. 1999" The statistic can be found on page 16 in the following paper: http://www.people.hbs.edu/jlerner/OldIPO.pdf The Stata code for a simple variable x with i observations would be: ***************************************************************** **** One Sample johnson t-test as in Barber et al. 1999 **** summarize Xi gen mean = r(mean) gen stddev = r(Var)^0.5 gen numobs = r(N) gen S = (mean/stddev) gen cubes = (Xi-mean)^3 egen sumcubes = sum(cubes) gen jskew =sumcubes/(numobs*(stddev^3)) * johnson t-test as in Barber et al. 1999 * gen jttest = ((numobs^0.5) *(S+1/3*jskew*S^2+(1/(6*numobs))*jskew)) ******************************************************************** Does anybody have an idea how to implement this for a "xtreg, fe" regression constant. (I do not want to use the program "johnson" - does not work for this problem I believe) In particular: how do I calculate the cubes variable: "gen cubes = (Xi-mean)^3" if mean is the regression constant and the regression includes multiple (3) independent variables. Thank you very much for having a look at this. I believe an answer would be very helpful for many newbie economists trying to implement a long-term event study. Kind Regards, Sebastian Körömi -- 5 GB Mailbox, 50 FreeSMS http://www.gmx.net/de/go/promail +++ GMX - die erste Adresse für Mail, Message, More +++ * * For searches and help try: * http://www.stata.com/support/faqs/res/findit.html * http://www.stata.com/support/statalist/faq * http://www.ats.ucla.edu/stat/stata/

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