Is it possible to calculate bootstrapped skewness adjusted t test [
suggested by Johnson (1978); also
proposed by Lyon, Barber, and Tsai (1999), 'Improved Methods for Tests
of Long-Run Abnormal Stock Returns', The Journal of Finance, Vol. 54,
No. 1, pp. 165-201
] for a skewed data in Gretl? If it is possible, how can I do this, including the critical value estimation?
Thank you in advance for the help.
(এম মহান উদ্দিন) Md. Mohan Uddin PhD Candidate | College of Business | Universiti Utara Malaysia
Sintok, Kedah, Malaysia ____________________________________________________________________________ Assistant Professor (on study leave) | School of Business | United International University Dhaka, Bangladesh | www.uiu.ac.bd