Generalized Sign Test (Cowan 1992)

Adjusts the sign test for the expected proportion of positive abnormal returns estimated from the estimation window, rather than assuming 0.5. This accounts for asymmetry in the return distribution.

See also

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

Public fields

name

Short code of the test statistic.

Methods

Public methods

• GeneralizedSignTest$compute()

• GeneralizedSignTest$clone()

Inherited methods

• TestStatisticBase$initialize()

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GeneralizedSignTest$compute()

Computes the generalized sign test for multiple events.

Usage

GeneralizedSignTest$compute(data_tbl, model)

Arguments

data_tbl

The data for a multiple event with calculated abnormal returns.

model

The fitted model (unused).

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GeneralizedSignTest$clone()

The objects of this class are cloneable with this method.

Usage

GeneralizedSignTest$clone(deep = FALSE)

Arguments

deep

Whether to make a deep clone.