Hi! I have a problem finding any previous studies that have used a panel data with fixed effects within group with a robust option as a pre-test to find and locate potential events to conduct event studies on.

We are interested in analyzing five Swedish industrial equity indexes; technology, industrial, healthcare, financials, and real estate. Their actual returns will be compared to the benchmark which is a broad market index, the OMXSPI or the Stockholm All-share, whose average return will act as the expected return for the entire market. We are interested in analyzing the global financial crisis 2007-2010 and the COVID-19 pandemic 2019-2022 and the Russo-Ukrainian war 2022-2024. Hence, the stated aim of the study is to analyze if there are any sectors of the Swedish economy which outperforms the market in general through one, two or all three crises mentioned above. The second aim is to also locate sectors of the economy which one should avoid based on underperformance compared to the market during the three different types of crises in similar but not identical future crises. Our problem is that we first wanted to conduct an event study but the results were not significant. Our teachers therefore asked us to do a pre-test by conducting a panel data regression with fixed effects and within group with an robust option in STATA. When this is done the second phase is to locate potential events based on the panel data regression. However, I can not find any previous studies who have conducted their research in this manner before. I therefore humbly ask for any studies that have been conducted in this fashion before.

Thanks beforehand!

Victor