Timeline for The econometrics of a Bayesian approach to event study methodology
Current License: CC BY-SA 3.0
15 events
| when toggle format | what | by | license | comment | |
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| S Dec 30, 2014 at 9:11 | history | bounty ended | CommunityBot | ||
| S Dec 30, 2014 at 9:11 | history | notice removed | CommunityBot | ||
| Dec 28, 2014 at 3:41 | answer | added | jayk | timeline score: 2 | |
| Dec 27, 2014 at 23:26 | vote | accept | Constantin | ||
| Dec 27, 2014 at 22:39 | history | edited | Constantin | CC BY-SA 3.0 |
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| Dec 27, 2014 at 19:50 | comment | added | Constantin | Can't I use an uninformative prior? | |
| Dec 23, 2014 at 9:29 | answer | added | Andy Jones | timeline score: 6 | |
| Dec 22, 2014 at 20:02 | comment | added | StasK | If you want to argue that Bayesian approach is more applicable to small samples of size $n=1$, then it is inevitable that prior will speak way too loudly with such a sample. | |
| Dec 22, 2014 at 19:55 | history | edited | Constantin | CC BY-SA 3.0 |
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| Dec 22, 2014 at 19:08 | comment | added | Constantin | I'm looking for evidence in support of my assumption that the event examined has an influence on the stock price (in which case the $CAR$ is different from zero, because it is computed during the event window, relative to the normal return, which is computed for the reference period before the event). I am interested in whether the data supports the hypothesis that there is indeed a non-zero $CAR$ and also in its magnitude. I realise statistical significance isn't really a thing in Bayesian statistics but what interpretation does this method offer? Can I apply a hypothesis testing equivalent? | |
| Dec 22, 2014 at 12:34 | comment | added | Andy Jones | (1.) is simple: use Bayesian linear regression. (2.) is more tricky, because significance testing isn't a Bayesian thing. The only thing you can do is compare the probability of different models, and $\text{CAR} = 0$ isn't the basis of a model because $\text{CAR}$ isn't a model parameter. What's the purpose of the $\text{CAR}$? What decisions are made based on it? | |
| Dec 22, 2014 at 9:55 | history | tweeted | twitter.com/#!/StackStats/status/546967327372496897 | ||
| S Dec 22, 2014 at 7:28 | history | bounty started | Constantin | ||
| S Dec 22, 2014 at 7:28 | history | notice added | Constantin | Draw attention | |
| Dec 19, 2014 at 10:27 | history | asked | Constantin | CC BY-SA 3.0 |