Using Dummy Variables in the Event Methodology
AbstractIn this paper, the author outlines a dummy-variable technique that is a convenient procedure for obtaining cumulative prediction errors and related test statistics. By appending a vector of (0,1) dummy variables to the right-hand side of the market model, results usually obtained in two steps can be obtained in a single multiple regression. The primary advantage of this technique is that both prediction errors and correct test statistics may be obtained from an y standard regression package. Copyright 1988 by MIT Press.
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Bibliographic InfoArticle provided by Eastern Finance Association in its journal The Financial Review.
Volume (Year): 23 (1988)
Issue (Month): 3 (August)
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