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st: Event studies significance test


From   lschoele@rumms.uni-mannheim.de
To   statalist@hsphsun2.harvard.edu
Subject   st: Event studies significance test
Date   Wed, 03 Jun 2009 17:06:31 +0200

Dear Statalist,

I have a question about testing the significance across all events. I copied the text, that is on the stata website:

Testing Across All Events
Instead of, or in addition to, looking at the average abnormal return for each company, you probably want to calculate the cumulative abnormal for all companies treated as a group. Here's the code for that:

reg cumulative_abnormal_return if dif==0, robust
The P-value on the constant from this regression will give you the significance of the cumulative abnormal return across all companies. This test preferable to a t-test because it allows you to use robust standard errors.

My question: How is this test called, that is used here and why is it better than a t-test?

Thank you very much
Lisa

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