Adjusts the BMP (Boehmer, Musumeci, Poulsen 1991) test for cross-sectional
correlation of abnormal returns using the Kolari and Pynnoenen (2010)
correction. Abnormal returns are standardized by each event's MODEL sigma
(model$statistics$sigma, same as BMPTest) – not the
forecast-error-corrected sigma. The adjustment scales the BMP statistic by
a factor that accounts for the average pairwise correlation of
standardized abnormal residuals in the estimation window, computed only
over "usable" events (at least 2 finite estimation-window SARs, finite
model sigma, and non-constant/non-degenerate SAR variance). The adjustment
is never silently substituted with 1: an event that cannot contribute a
usable estimation-window series is excluded from the correlation estimate
and reported once; if fewer than 2 usable events remain, kp_t and
ckp_t are NA.
References
Kolari, J. W. and Pynnoenen, S. (2010). Event Study Testing with Cross-sectional Correlation of Abnormal Returns. The Review of Financial Studies, 23(11), 3996–4025.
See also
Other eventstudy-statistics:
ARTTest,
BHARTTest,
BMPTest,
CARTTest,
CSectTTest,
CalendarTimePortfolioTest,
GeneralizedSignTest,
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 -> KolariPynnonenTest