Dear all,
concerning event studies in Stata (fairly simple, according to http://dss.princeton.edu/online_help...ventstudy.html) I was wondering if anybody has heard of/seen commands or codes relating to the "Adjusted Standardized Cross-Section Test (Adjusted BMP test)" as proposed by Boehmer, Musumeci and Poulsen (1991) and modified by Kolari and Pynnönen (2010). It implies a standardized cross-sectional method which is robust to the variance induced by the event.
A really helpful first illustration is provided here: http://www.eventstudytools.com/signi...ests#ParamTest
Links and abstracts to the papers are given here:
1.) http://www.sciencedirect.com/science...04405X9190032F
2.) http://rfs.oxfordjournals.org/conten.../3996.abstract
Im am more than happy for any kinds of hints or references. I kindly apologize for not being able to post more information, as I first wanted to get an idea if anybody knows of a code/or command already being written in that field.
Best Regards
Frank
concerning event studies in Stata (fairly simple, according to http://dss.princeton.edu/online_help...ventstudy.html) I was wondering if anybody has heard of/seen commands or codes relating to the "Adjusted Standardized Cross-Section Test (Adjusted BMP test)" as proposed by Boehmer, Musumeci and Poulsen (1991) and modified by Kolari and Pynnönen (2010). It implies a standardized cross-sectional method which is robust to the variance induced by the event.
A really helpful first illustration is provided here: http://www.eventstudytools.com/signi...ests#ParamTest
Links and abstracts to the papers are given here:
1.) http://www.sciencedirect.com/science...04405X9190032F
2.) http://rfs.oxfordjournals.org/conten.../3996.abstract
Im am more than happy for any kinds of hints or references. I kindly apologize for not being able to post more information, as I first wanted to get an idea if anybody knows of a code/or command already being written in that field.
Best Regards
Frank
