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Thread: Dimson method - t-statistics on summarised betas ?

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    Question Dimson method - t-statistics on summarised betas ?


    Currently trying to apply the Dimson method(Dimson 1979. Link provided below), on the market model due to infrequent trading.

    Our specific regression is consistent with the regression in table 2 on page 279, in the attached article on price uncertainty and and corporate value.

    The method it self seems quite self-explanatory, but the t-statistics on the summarised betas (from lag and leads) are not well explained. Our research states that the individual beta values on the lags, current and leads are not significant, but the summarised beta value is highly significant.

    Do any of you know how to perform t-statistics on the summarised beta value according to the Dimson method?


    Thank you for your help!
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