Rank Test (Corrado 1989)

Non-parametric rank test for event studies. Ranks abnormal returns across the combined estimation and event windows, which is robust to non-normality of abnormal returns.

See also

Other eventstudy-statistics: ARTTest, BHARTTest, BMPTest, CARTTest, CSectTTest, CalendarTimePortfolioTest, GeneralizedSignTest, KolariPynnonenTest, MultiEventStatisticsSet, PatellZTest, 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 -> RankTest

Public fields

name

Short code of the test statistic.

Methods

Public methods

• RankTest$compute()

• RankTest$clone()

Inherited methods

• TestStatisticBase$initialize()

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RankTest$compute()

Computes the Corrado rank test for multiple events.

Usage

RankTest$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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RankTest$clone()

The objects of this class are cloneable with this method.

Usage

RankTest$clone(deep = FALSE)

Arguments

deep

Whether to make a deep clone.