Event studies with daily stock returns in Stata: Which command to use?

This article provides an overview of existing community-contributed
commands for executing event studies. I assess which command(s) could have
been used to conduct event studies that have appeared in the past ten years in
three leading accounting, finance and management journals. The older command
eventstudy provides a comfortable graphical user interface and good functionality
for event studies that do not require hypotheses testing. The command estudy
described in Pacicco et al. (2018, Stata Journal 18(2), pp. 416–476; 2020, Stata
Journal, forthcoming) provides a set of commonly applied test statistics, useful
exporting routines to spreadsheet software and LATEX for event studies with a
limited number of events. The most complete command in terms of available
test statistics and benchmark models as well as its ability to handle events with
insufficient data, thin trading and large samples is eventstudy2