Cumulative Abnormal Return T Statistic (CART)

The CAR t-test is a statistical method used to determine whether the cumulative abnormal return of a security over an event window is significantly different from zero. This test helps researchers identify whether the event of interest has a significant impact on the security’s return over the entire event window, considering the cumulative effects of the event.

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

Super class

TestStatisticBase -> CARTTest

Public fields

name

Short code of the test statistic.

Methods

Public methods

• CARTTest$compute()

• CARTTest$clone()

Inherited methods

• TestStatisticBase$initialize()

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CARTTest$compute()

Computes the test CAR test statistics for a single event.

Usage

CARTTest$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.

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CARTTest$clone()

The objects of this class are cloneable with this method.

Usage

CARTTest$clone(deep = FALSE)

Arguments

deep

Whether to make a deep clone.