THE COMPUTATION OF TEST STATISTICS FOR MULTIVARIATE REGRESSION-MODELS IN EVENT STUDIES

被引：1
|
作者：
SEAKS, TG
机构：
[1] University of North Carolina, Greensboro
来源：
ECONOMICS LETTERS | 1990年 / 33卷 / 02期
关键词：
D O I：
10.1016/0165-1765(90)90159-X
中图分类号：
F [经济];
学科分类号：
02 ;
摘要：
Event studies are often estimated with Zellner's seemingly unrelated regressions (SUR) estimator and hypothesis tests are applied to cross equation combinations of the coefficients corresponding to event dummy variables. A number of recent event studies fail to point out a useful computational simplification for obtaining the necessary covariance matrix and test statistics. © 1990.
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页码：141 / 145
页数：5
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