Event study, adjusting crossectional correlation
Posted: 08 October 2013 03:19 PM   [ Ignore ]
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Hi Joost,

I was just wondering, are you familiar with event study?

Is there any code for adjusting standard errors. It is suggested that if the event clusters at a time, then the t-statistics should have some adjustment.

http://rfs.oxfordjournals.org/content/23/11/3996.abstract

Thank you a lot!

Anna

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Posted: 08 October 2013 06:40 PM   [ Ignore ]   [ # 1 ]
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hi Anna,

I haven’t come across code that adjusts for that correlation; I did a quick Google search and didn’t find anything either.

If you find some solution, could you please post it here?

thanks,

Joost

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Posted: 09 October 2013 12:59 PM   [ Ignore ]   [ # 2 ]
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Joost Impink - 08 October 2013 06:40 PM

hi Anna,

I haven’t come across code that adjusts for that correlation; I did a quick Google search and didn’t find anything either.

If you find some solution, could you please post it here?

thanks,

Joost

Thanks Joost. I will post it here if I find it out.

Anna

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Posted: 09 October 2013 05:52 PM   [ Ignore ]   [ # 3 ]
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thanks Anna smile

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