Using Dummy Variables in the Event Methodology

Imre Karafiath

The Financial Review, 1988, vol. 23, issue 3, 351-57

Abstract: In this paper, the author outlines a dummy-variable technique that is a convenient procedure for obtaining cumulative prediction errors and related test statistics. By appending a vector of (0,1) dummy variables to the right-hand side of the market model, results usually obtained in two steps can be obtained in a single multiple regression. The primary advantage of this technique is that both prediction errors and correct test statistics may be obtained from an y standard regression package. Copyright 1988 by MIT Press.

Date: 1988
References: Add references at CitEc
Citations: View citations in EconPapers (83)

There are no downloads for this item, see the EconPapers FAQ for hints about obtaining it.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:bla:finrev:v:23:y:1988:i:3:p:351-57

Ordering information: This journal article can be ordered from
http://www.blackwell ... bs.asp?ref=0732-8516

Access Statistics for this article

The Financial Review is currently edited by Cynthia J. Campbell and Arnold R. Cowan

More articles in The Financial Review from Eastern Finance Association Contact information at EDIRC.
Bibliographic data for series maintained by Wiley Content Delivery ().