The hardware and bandwidth for this mirror is donated by dogado GmbH, the Webhosting and Full Service-Cloud Provider. Check out our Wordpress Tutorial.
If you wish to report a bug, or if you are interested in having us mirror your free-software or open-source project, please feel free to contact us at mirror[@]dogado.de.
Based on Dutta et al. (2018) <doi:10.1016/j.jempfin.2018.02.004>, this package provides their standardized test for abnormal returns in long-horizon event studies. The methods used improve the major weaknesses of size, power, and robustness of long-run statistical tests described in Kothari/Warner (2007) <doi:10.1016/B978-0-444-53265-7.50015-9>. Abnormal returns are weighted by their statistical precision (i.e., standard deviation), resulting in abnormal standardized returns. This procedure efficiently captures the heteroskedasticity problem. Clustering techniques following Cameron et al. (2011) <doi:10.1198/jbes.2010.07136> are adopted for computing cross-sectional correlation robust standard errors. The statistical tests in this package therefore accounts for potential biases arising from returns' cross-sectional correlation, autocorrelation, and volatility clustering without power loss.
Version: | 1.2.2 |
Depends: | R (≥ 3.5) |
Imports: | methods, stats, sandwich |
Suggests: | testthat |
Published: | 2022-02-23 |
DOI: | 10.32614/CRAN.package.crseEventStudy |
Author: | Siegfried Köstlmeier
|
Maintainer: | Siegfried Köstlmeier <siegfried.koestlmeier at gmail.com> |
License: | BSD_3_clause + file LICENSE |
URL: | https://github.com/skoestlmeier/crseEventStudy |
NeedsCompilation: | no |
In views: | Finance |
CRAN checks: | crseEventStudy results |
Reference manual: | crseEventStudy.pdf |
Package source: | crseEventStudy_1.2.2.tar.gz |
Windows binaries: | r-devel: crseEventStudy_1.2.2.zip, r-release: crseEventStudy_1.2.2.zip, r-oldrel: crseEventStudy_1.2.2.zip |
macOS binaries: | r-release (arm64): crseEventStudy_1.2.2.tgz, r-oldrel (arm64): crseEventStudy_1.2.2.tgz, r-release (x86_64): crseEventStudy_1.2.2.tgz, r-oldrel (x86_64): crseEventStudy_1.2.2.tgz |
Old sources: | crseEventStudy archive |
Please use the canonical form https://CRAN.R-project.org/package=crseEventStudy to link to this page.
These binaries (installable software) and packages are in development.
They may not be fully stable and should be used with caution. We make no claims about them.
Health stats visible at Monitor.