Abnormal Return T Statistic (ART)

The AR t-test is a statistical method used to determine whether the abnormal return of a security on a specific day is significantly different from zero. This test helps researchers identify whether the event of interest has a significant impact on the security's return at a particular point in time.

See also https://eventstudy.de/statistics/ar_car_statistics.html

See also

Other eventstudy-statistics: BHARTTest, BMPTest, CARTTest, CSectTTest, CalendarTimePortfolioTest, GeneralizedSignTest, KolariPynnonenTest, MultiEventStatisticsSet, PatellZTest, RankTest, SignTest, SingleEventStatisticsSet, StatisticsSetBase, TestStatisticBase, adjust_p_values(), bootstrap_test(), car_by_group(), car_quantiles(), cross_sectional_regression(), model_diagnostics(), pretrend_test(), simulate_event_study(), validate_task()

Super class

TestStatisticBase -> ARTTest

Public fields

name

Short code of the test statistic.

Methods

Public methods

• ARTTest$compute()

• ARTTest$clone()

Inherited methods

• TestStatisticBase$initialize()

---

ARTTest$compute()

Computes the test AR test statistics for a single event.

Usage

ARTTest$compute(data_tbl, model)

Arguments

data_tbl

The data for a single event with calculated abnormal returns.

model

The fitted model that includes the necessary information for calculating the test statistic.

---

ARTTest$clone()

The objects of this class are cloneable with this method.

Usage

ARTTest$clone(deep = FALSE)

Arguments

deep

Whether to make a deep clone.