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VC Acquisitions Paper (view source)
Revision as of 21:19, 19 February 2012
, 21:19, 19 February 2012→Calculated variables
*Let <math>\epsilon</math> be the residual from the mkt model regression. Then calc: <math>\sigma_{\epsilon}={( \mathbb{E}(\epsilon - \mathbb{E} \epsilon))}^{\frac{1}{2}}</math>
*RMSE of the Mkt Model: <math>RMSE={( \mathbb{E}(X- \mathbb{E} X))}^{\frac{1}{2}}</math> - this is in the ereturn list in STATA and will be used for the Patell Standard Errors.
*The cummulative return <math>CAR_i = \sum_t AR_i</math> is trivial to calculate
*Check that the Boehmer standard errors are the cross-sectional ones generated by OLS.
*Check the specification of the McKinley standard errors.
