Dear Statalists,

in order to be able to calculate non-parametric significance tests when doing an event study following the DSS Princeton explanation
HTML Code:
https://dss.princeton.edu/online_help/stats_packages/stata/eventstudy.html
, i have a question regarding adapting the code. Please also bear in mind i am rather new to STATA as well as statistics, thus might have 'obvious' concept misunderstandings:

1. The original code (merely adjusted by my variable names):
Code:
gen pred_ret10=.
forvalues i=1(1)754 {
l id group_id if id==`i' & dif==0
reg co_ret mkt_ret if id==`i' & est_win1==1
predict p if id==`i
replace pred_ret10=p if id==`i' & evt_win10==1
drop p
}
2. Adjusting this by adding a ",robust". What exact statistical/methodological difference will come out adding this "robust" term?

Code:
gen pred_ret10=.
forvalues i=1(1)754 {
l id group_id if id==`i' & dif==0
reg co_ret mkt_ret if id==`i' & est_win1==1, robust
predict p if id==`i
replace pred_ret10=p if id==`i' & evt_win10==1
drop p
}
3. How would i have to adjust the code so that i can get the standard deviation of estimation errors in order to be able and calculate the e.g.: G RANK T test as shown by eventstudytools.com
HTML Code:
https://www.eventstudytools.com/significance-tests
. scroll down to No. 11.

Looking forward to your answers.

Best,
Max