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Running event studies using Stata: the estudy command
Working paper

Running event studies using Stata: the estudy command

Fausto Pacicco, Luigi Vena and Andrea Venegoni
SSRN, (6 November 2017), pp.1-14
Elsevier
2017
DOI: https://doi.org/10.2139/ssrn.3059521

Abstract

Estudy Event study Financial econometrics
This paper proposes the Stata command estudy and illustrates 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 program significantly improves the existing modules both in terms of completeness and users' comprehension.
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