Base class for Event Study test statistics

Base class for Event Study test statistics

Public fields

name

Short code of the test statistic.

confidence_level

The chosen confidence level.

confidence_type

Type of the test. Defaults to 'two-sided'. Alternatives are 'less' or greater'.

Methods

Public methods

• TestStatisticBase$new()

• TestStatisticBase$compute()

• TestStatisticBase$clone()

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TestStatisticBase$new()

Initializes the test statistic. This includes the confidence level and the type of the test ('less', greater' or 'two-sided')

Usage

TestStatisticBase$new(confidence_level = 0.95, confidence_type = "two-sided")

Arguments

confidence_level

The confidence level for the confidence band. Must be anumber between 0 and 1.

confidence_type

Side of the test statistic.

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TestStatisticBase$compute()

Computes the test test statistics for a single event.

Usage

TestStatisticBase$compute(data_tbl, model)

Arguments

data_tbl

The data for a single event with calculated abnormal returns.

model

The fitted model that includes the necessary information for calculating the test statistic.

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TestStatisticBase$clone()

The objects of this class are cloneable with this method.

Usage

TestStatisticBase$clone(deep = FALSE)

Arguments

deep

Whether to make a deep clone.