Premium
USING DUMMY VARIABLES IN THE EVENT METHODOLOGY
Author(s) -
Karafiath Imre
Publication year - 1988
Publication title -
financial review
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 0.621
H-Index - 47
eISSN - 1540-6288
pISSN - 0732-8516
DOI - 10.1111/j.1540-6288.1988.tb01273.x
Subject(s) - statistics , computer science , regression analysis , variable (mathematics) , event (particle physics) , regression , variables , econometrics , mathematics , mathematical analysis , physics , quantum mechanics
In 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 any standard regression package.