Permutation-based tests for discontinuities in event studies

Permutation-based tests for discontinuities in event studies

We propose using a permutation test to detect discontinuities in an underlying economic model at a cutoff point. Relative to the existing literature, we show that this test is well suited for event studies based on time-series data. The test statistic measures the distance between the empirical dist...

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Bibliographic Details
Main Authors: BUGNI, Federico, LI, Jia
Format: text
Language:English
Published: Institutional Knowledge at Singapore Management University 2022
Subjects:
Event study
Infill asymptotics
Jump
Permutation tests
Randomization tests
Semimartingale
Econometrics
Online Access:https://ink.library.smu.edu.sg/soe_research/2564
https://ink.library.smu.edu.sg/context/soe_research/article/3563/viewcontent/Permutation_based_tests_for_discontinuities_in_event_studies.pdf
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Institution: Singapore Management University
Language: English

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https://ink.library.smu.edu.sg/soe_research/2564
https://ink.library.smu.edu.sg/context/soe_research/article/3563/viewcontent/Permutation_based_tests_for_discontinuities_in_event_studies.pdf

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