Cross-Sectional T Test (CSectTTest)

The Cross-Sectional Test (CSect T) is a statistical tool employed in event studies to evaluate the null hypothesis that the average abnormal return at the event date is zero. The test statistic is distributed as \(t_{N-1}\), where N is the number of events in that group.

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

See also

Other eventstudy-statistics: ARTTest, BHARTTest, BMPTest, CARTTest, 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 -> CSectTTest

Public fields

name

Short code of the test statistic.

Methods

Public methods

• CSectTTest$compute()

• CSectTTest$clone()

Inherited methods

• TestStatisticBase$initialize()

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CSectTTest$compute()

Computes the AAR/CAAR cross-sectional t test statistics.

Usage

CSectTTest$compute(data_tbl, model)

Arguments

data_tbl

The data for a multiple event with calculated abnormal returns.

model

The fitted model: not necessary for this test statistics.

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CSectTTest$clone()

The objects of this class are cloneable with this method.

Usage

CSectTTest$clone(deep = FALSE)

Arguments

deep

Whether to make a deep clone.