Event Study Cross-Sectional Tests

Hello,

I am performing an event study using the following tutorial of princeton: http://dss.princeton.edu/online_help...ventstudy.html

This allows me to calculate the overall abnormal effect. How can I perform cross-sectional tests with a variable? In my event study, I want to know if there are abnormal returns because of high CEO compensation. Should I insert a dummy variable for high compensation or how should I perform this test in Stata? Thanks.