stata运用事件研究法eventstudy2命令计算CAR,再进行回归,[-2,2]、[-4,4]、[-10,10]的CAR回归结果显著,但其余常见天数的CAR回归结果不显著,该怎么办呢?
clear all
use Security_id.dta
eventstudy2 code date using Security_return,ret(Dretwd) evwlb(-10) evwub(10) eswlb(-210) eswub(-11) ///
mod(FM) marketfile (market_return) mar(Cdretwdos) car1LB(-1) car1UB(1) ///
car2LB(-2) car2UB(2) ///
car3LB(-3) car3UB(3) ///
car9LB(-8)car9UB(8) ///
car10LB(-9)car10UB(9) ///
arfillevent replace