Hi all,
I have run a cumulative abnormal returns regression and tested for significance with the below code. However have ended up with blank statistics, how can I fix this? I understand I have no independent variable but this is supposed to be the case in testing the significance of my CAR in that The P-value on the constant from this regression will give you the significance of the cumulative abnormal return across all companies. This test is preferable to a t-test because it allows you to use robust standard errors.
According to: https://dss.princeton.edu/online_hel...ventstudy.html
I haven't used all the variables in my data as dataex informed me there were too many but if they may be useful I will of course share.
Thanks
Linear regression Number of obs = 97
F( 0, 96) = 0.00
Prob > F = .
R-squared = .
Root MSE = 0
------------------------------------------------------------------------------
| Robust
cumulative~n | Coef. Std. Err. t P>|t| [95% Conf. Interval]
-------------+----------------------------------------------------------------
_cons | -7.760673 . . . . .
------------------------------------------------------------------------------
Sample
I have run a cumulative abnormal returns regression and tested for significance with the below code. However have ended up with blank statistics, how can I fix this? I understand I have no independent variable but this is supposed to be the case in testing the significance of my CAR in that The P-value on the constant from this regression will give you the significance of the cumulative abnormal return across all companies. This test is preferable to a t-test because it allows you to use robust standard errors.
According to: https://dss.princeton.edu/online_hel...ventstudy.html
I haven't used all the variables in my data as dataex informed me there were too many but if they may be useful I will of course share.
Thanks
Linear regression Number of obs = 97
F( 0, 96) = 0.00
Prob > F = .
R-squared = .
Root MSE = 0
------------------------------------------------------------------------------
| Robust
cumulative~n | Coef. Std. Err. t P>|t| [95% Conf. Interval]
-------------+----------------------------------------------------------------
_cons | -7.760673 . . . . .
------------------------------------------------------------------------------
Code:
sort id date gen abnormal_return=ret-retrf_predict if event_window==1 by id: egen cumulative_abnormal_return = sum(abnormal_return) sort id date by id: egen ar_sd = sd(abnormal_return) gen test =(1/sqrt(1)) * ( cumulative_abnormal_return /ar_sd) list company_id cumulative_abnormal_return test if dif==0 reg cumulative_abnormal_return if dif==0, robust
Code:
* Example generated by -dataex-. To install: ssc install dataex clear input float(cumulative_abnormal_return abnormal_return ar_sd test) -7.760673 . .3125001 -24.834145 -7.760673 . .3125001 -24.834145 -7.760673 . .3125001 -24.834145 -7.760673 . .3125001 -24.834145 -7.760673 . .3125001 -24.834145 -7.760673 . .3125001 -24.834145 -7.760673 . .3125001 -24.834145
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