Sign Test for Multiple Events

Tests whether the proportion of positive abnormal returns differs significantly from 0.5 under the null hypothesis. The test statistic is approximately distributed as N(0, 1).

Super class

TestStatisticBase -> SignTest

Public fields

name

Short code of the test statistic.

Methods

Public methods

• SignTest$compute()

• SignTest$clone()

Inherited methods

• TestStatisticBase$initialize()

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SignTest$compute()

Computes the sign test for multiple events.

Usage

SignTest$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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SignTest$clone()

The objects of this class are cloneable with this method.

Usage

SignTest$clone(deep = FALSE)

Arguments

deep

Whether to make a deep clone.