Patell or Standardized Residual Test (PatellZTest)

The Patell or Standardized Residual Test 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 statistics is approximately distributed as N(0, 1).

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

Super class

TestStatisticBase -> PatellZTest

Public fields

name

Short code of the test statistic.

Methods

Public methods

• PatellZTest$compute()

• PatellZTest$clone()

Inherited methods

• TestStatisticBase$initialize()

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PatellZTest$compute()

Computes the Patell Z test statistics for multiple events.

Usage

PatellZTest$compute(data_tbl, model)

Arguments

data_tbl

The data for a multiple event with calculated abnormal returns.

model

The fitted model.

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PatellZTest$clone()

The objects of this class are cloneable with this method.

Usage

PatellZTest$clone(deep = FALSE)

Arguments

deep

Whether to make a deep clone.