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I've only dabbled and never came up with results I was happy with, but you're right about the standard errors. The distributional assumptions are more important when you can't count on the Central Limit theorem applying.

I wish they were more clear about exactly what they did, but I think the authors might not know themselves, as they just reference the STATA package they jammed everything into.

Did you dabble because of a specific project you were working on? Or just out of theoretical interest?

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A specific project related to mass shootings. We really need a lot more of those if we want to understand them.

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Interesting. One of my department colleagues writes on that topic

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Good luck to him or her. I came up with some interesting stylized facts but the actual analysis didn't get very far.

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