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st: Re: z statistic for event studies


From   "Martin Weiss" <martin.weiss1@gmx.de>
To   <statalist@hsphsun2.harvard.edu>
Subject   st: Re: z statistic for event studies
Date   Thu, 4 Jun 2009 18:41:40 +0200

Full references please:
http://www.sciencedirect.com/science/article/B6VBX-45KNKXM-49/2/fa1d0d3a46d182c75ff15774172eff5c


HTH
Martin
_______________
----- Original Message ----- From: <lschoele@rumms.uni-mannheim.de>
To: <statalist@hsphsun2.harvard.edu>
Sent: Thursday, June 04, 2009 4:22 PM
Subject: st: z statistic for event studies


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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