是在做事件研究时,检验Abnormal return显著性的一种方法,来自Patell 1976年的文章:Corporate Forecasts of Earnings per Share and Stock Price Behavior: Empirical Tests
JAMES M. PATELL
sas 可以做。不知道你是用excel把你的数据都做好了还是怎么样。patell z test是用来test the significance of period statistics. U have to creat an event window and save as txt file and follow the procedures of running sas, the orders mignt be a little complex but u can find online. replace the root of ur files and remeber that sas only recognises xls files and txt files.
https://www.jstor.org/stable/2490543?seq=13#metadata_info_tab_contents
JAR,1976,14(2), James M Patell, Corporate Forecasts of Earnings Per Share and Stock Price Behavior: Empirical Test.
这是Patell Z test的起源,Patell Z是abnormal return(残差)的一个统计量,自己看懂了过程编程就好了,一般软件里应该没有命令可以用的。
该问题可以结束了(#^.^#)。