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HALLT-SKEWT: Stata module to compute skewness-adjusted bootstrap t-statistics

Author

Listed:
  • Rajesh Tharyan

    (University of Exeter)

  • Scott Merryman

Programming Language

Stata

Abstract

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.

Suggested Citation

  • Rajesh Tharyan & Scott Merryman, 2008. "HALLT-SKEWT: Stata module to compute skewness-adjusted bootstrap t-statistics," Statistical Software Components S456933, Boston College Department of Economics, revised 04 Aug 2009.
    • Handle: RePEc:boc:bocode:s456933
    Note: This module should be installed from within Stata by typing "ssc install hallt-skewt". The module is made available under terms of the GPL v3 (https://www.gnu.org/licenses/gpl-3.0.txt). Windows users should not attempt to download these files with a web browser.
    as

    Download full text from publisher

    File URL: http://fmwww.bc.edu/repec/bocode/h/hallt.ado
    File Function: program code
    Download Restriction: no
    File URL: http://fmwww.bc.edu/repec/bocode/h/hallt.hlp
    File Function: help file
    Download Restriction: no
    File URL: http://fmwww.bc.edu/repec/bocode/s/skewt.ado
    File Function: program code
    Download Restriction: no
    File URL: http://fmwww.bc.edu/repec/bocode/s/skewt.hlp
    File Function: help file
    Download Restriction: no
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