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st: z statistic for event studies


From   lschoele@rumms.uni-mannheim.de
To   statalist@hsphsun2.harvard.edu
Subject   st: z statistic for event studies
Date   Thu, 04 Jun 2009 16:22:12 +0200

Hi Statalist,

i am using event studies to measure abnormal returns. To measure the significance of the abnormal returns it is possible to either use a t-test or an z statistics invented by Boehmer et al. in 1991. This z statistics is also known as standardized cross sectional test. Does anyone know if there is a command for that test in stata, I could not find one?

Thank you very much
Lisa
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