Kolari-Pynnönen Adjusted BMP Test

Adjusts the BMP (Boehmer, Musumeci, Poulsen 1991) test for cross-sectional correlation of abnormal returns using the Kolari and Pynnönen (2010) correction. The adjustment scales the BMP statistic by a factor that accounts for the average pairwise correlation of standardized abnormal residuals in the estimation window.

References

Kolari, J. W. and Pynnönen, S. (2010). Event Study Testing with Cross-sectional Correlation of Abnormal Returns. The Review of Financial Studies, 23(11), 3996–4025.

Super class

TestStatisticBase -> KolariPynnonenTest

Public fields

name

Short code of the test statistic.

Methods

Public methods

• KolariPynnonenTest$compute()

• KolariPynnonenTest$clone()

Inherited methods

• TestStatisticBase$initialize()

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KolariPynnonenTest$compute()

Computes the Kolari-Pynnönen adjusted BMP test.

Usage

KolariPynnonenTest$compute(data_tbl, model)

Arguments

data_tbl

The data for a multiple event with calculated abnormal returns.

model

The fitted model containing sigma estimates.

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KolariPynnonenTest$clone()

The objects of this class are cloneable with this method.

Usage

KolariPynnonenTest$clone(deep = FALSE)

Arguments

deep

Whether to make a deep clone.