Event study estimations using Stata: The estudy command

Fausto Pacicco, Luigi Vena () and Andrea Venegoni ()
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Luigi Vena: LIUC–Università Carlo Cattaneo Castellanza
Andrea Venegoni: LIUC–Università Carlo Cattaneo Castellanza

Stata Journal, 2018, vol. 18, issue 2, 461-476

Abstract: In this article, we introduce the community-contributed command estudy and illustrate how it can be used to perform an event study customizing the statistical framework, from the estimates of abnormal returns to the tests for their statistical significance. Our command significantly improves the existing commands in terms of both completeness and user comprehension.

Keywords: estudy; event study; financial econometrics (search for similar items in EconPapers)
Date: 2018
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Citations: View citations in EconPapers (13)

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