English, Article edition: HALLT-SKEWT: Stata module to compute skewness-adjusted bootstrap t-statistics Rajesh Tharyan; Scott Merryman

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Bookmark: http://trove.nla.gov.au/version/175366
Physical Description
  • code
Language
  • English

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Title
  • HALLT-SKEWT: Stata module to compute skewness-adjusted bootstrap t-statistics
Author
  • Rajesh Tharyan
  • Scott Merryman
Physical Description
  • code
Notes
  • hallt implements a skewness adjusted bootstrapped t-statistic procedure. This is implemented in Eventus software for event studies as the skewness adjusted transformed normal test. skewt implements the skewness adjusted bootstrapped t-statistic procedure as in Lyon, John D., Brad M. Barber, and Chih-Ling Tsai, 1999, "Improved Methods for Tests of Long-Run Abnormal Stock Returns" The Journal of Finance 54, no. 1:165-201. Users can save the skewness adjusted bootstrapped t-statistics and also specify the proportion of the sample to use for the bootstrap.
  • t-statistic, bootstrap, skewness, event studies
  • RePEc:boc:bocode:s456933
Language
  • English
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