HALLT-SKEWT: Stata module to compute skewness-adjusted bootstrap t-statistics

Rajesh Tharyan () and Scott Merryman ()

Statistical Software Components from Boston College Department of Economics

Abstract: hallt implements a skewness adjusted bootstrapped t-statistic procedure. This is implemented in Eventus software for event studies as the skewness adjusted transformed normal test. skewt implements the skewness adjusted bootstrapped t-statistic procedure as in Lyon, John D., Brad M. Barber, and Chih-Ling Tsai, 1999, "Improved Methods for Tests of Long-Run Abnormal Stock Returns" The Journal of Finance 54, no. 1:165-201. Users can save the skewness adjusted bootstrapped t-statistics and also specify the proportion of the sample to use for the bootstrap.

Language: Stata
Requires: Stata version 9
Keywords: t-statistic; bootstrap; skewness; event studies (search for similar items in EconPapers)
Date: 2008-04-20, Revised 2009-08-04
Note: This module should be installed from within Stata by typing "ssc install hallt-skewt". The module is made available under terms of the GPL v3 (https://www.gnu.org/licenses/gpl-3.0.txt). Windows users should not attempt to download these files with a web browser.
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Downloads: (external link)
http://fmwww.bc.edu/repec/bocode/h/hallt.ado program code (text/plain)
http://fmwww.bc.edu/repec/bocode/h/hallt.hlp help file (text/plain)
http://fmwww.bc.edu/repec/bocode/s/skewt.ado program code (text/plain)
http://fmwww.bc.edu/repec/bocode/s/skewt.hlp help file (text/plain)

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