Permutation-based tests for discontinuities in event studies

• 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
• Institution: Singapore Management University

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...