Package index
Pipeline & Tasks
Core entry points and task containers — the objects and functions a user touches first to set up and run an event study.
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EventStudyTask - Initialization of an Event Study task.
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ParameterSet - Event Study Parameter Set
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run_event_study() - Run a Complete Event Study
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prepare_event_study() - Prepare data for an Event Study
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fit_model() - Train the defined model on each event and calculate the abnormal return.
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calculate_statistics() - Calculate test statistics
Return Models
R6 model classes for estimating normal returns and computing abnormal returns, plus return-calculation strategy classes.
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MarketModel - Market Model
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MarketAdjustedModel - Market Adjusted Model
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ComparisonPeriodMeanAdjustedModel - Comparison Period Mean Adjusted Model
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FamaFrench3FactorModel - Fama-French Three-Factor Model
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FamaFrench5FactorModel - Fama-French Five-Factor Model
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Carhart4FactorModel - Carhart Four-Factor Model
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LinearFactorModel - Linear Factor Model Base
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GARCHModel - GARCH Model
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DCCGARCHModel - DCC-GARCH Model
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RollingWindowModel - Rolling Window Model
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BHARModel - Buy-and-Hold Abnormal Returns (BHAR) Model
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VolumeModel - Volume Event Study Model
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VolatilityModel - Volatility Event Study Model
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SimpleReturn - R6 class for simple return calculation
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LogReturn - R6 class for log return calculation
Test Statistics
Single-event (AR/CAR) and multi-event (AAR/CAAR) test statistic classes and their container sets.
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ARTTest - Abnormal Return T Statistic (ART)
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CARTTest - Cumulative Abnormal Return T Statistic (CART)
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BHARTTest - Buy-and-Hold Abnormal Return T Test (BHARTTest)
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CSectTTest - Cross-Sectional T Test (CSectTTest)
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PatellZTest - Patell or Standardized Residual Test (PatellZTest)
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BMPTest - BMP Test (Boehmer, Musumeci, Poulsen 1991)
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SignTest - Sign Test for Multiple Events
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GeneralizedSignTest - Generalized Sign Test (Cowan 1992)
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RankTest - Rank Test (Corrado 1989)
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KolariPynnonenTest - Kolari-Pynnönen Adjusted BMP Test
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CalendarTimePortfolioTest - Calendar-Time Portfolio Test
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SingleEventStatisticsSet - Single Event Statistic Set
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MultiEventStatisticsSet - Multi Event Statistic Set
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StatisticsSetBase - Adds a test statistic to this container.
Panel, Intraday & Synthetic Control
Specialized task types and estimation functions for panel DiD, intraday, and synthetic control event study designs.
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PanelEventStudyTask - Panel Event Study Task
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IntradayEventStudyTask - Intraday Event Study Task
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SyntheticControlTask - Synthetic Control Task
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estimate_panel_event_study() - Estimate Panel Event Study
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prepare_intraday_event_study() - Prepare Intraday Event Study
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nonparametric_intraday_test() - Non-Parametric Intraday Event Study Test
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estimate_synthetic_control() - Estimate Synthetic Control
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sc_placebo_test() - Placebo Test for Synthetic Control
AI Advisor
Grounded AI advisor layer — deterministic diagnostics harvester, LLM advise function, knowledge base, and provider abstraction classes.
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es_advise() - Grounded AI Advice for Event Study Results
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es_diagnostics() - Harvest Diagnostics from a Fitted EventStudyTask
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es_kb() - Access the EventStudy Grounding Knowledge Base
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recommend_stat() - Recommend Test Statistics via Offline KB Matching
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flag_robustness() - Flag Robustness Issues via Offline KB Matching
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provider() - Construct a Grounded AI Advisor provider
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ProviderBase - ProviderBase
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AnthropicProvider - AnthropicProvider
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OpenAICompatProvider - OpenAICompatProvider
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CustomProvider - CustomProvider
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validate_task() - Validate an Event Study experiment
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model_diagnostics() - Model Diagnostics for Event Study
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pretrend_test() - Pre-trend Test for Event Study
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adjust_p_values() - Adjust P-Values for Multiple Testing
Cross-Sectional & Simulation
CAR-level cross-sectional analysis, group comparisons, quantiles, bootstrap inference, and Monte Carlo power simulation.
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cross_sectional_regression() - Cross-Sectional Regression of CARs
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car_by_group() - Compare CARs Across Groups
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car_quantiles() - CAR Quantiles
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bootstrap_test() - Wild Bootstrap Inference for Event Studies
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simulate_event_study() - Simulate Event Study for Power Analysis
Export & Reporting
Result extraction, multi-format export, broom-compatible tidying, and automated RMarkdown report generation.
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export_results() - Export Event Study Results
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generate_report() - Generate Event Study Report
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tidy.EventStudyTask() - Tidy Event Study Results
Plotting
Interactive Plotly-based visualization functions for event study results, stock prices, diagnostics, and specialized designs.
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plot_event_study() - Plot Event Study Results
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plot_stocks() - Plot Stocks
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plot_diagnostics() - Plot Model Diagnostics
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plot_car_distribution() - Plot CAR Distribution
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plot_panel_event_study() - Plot Panel Event Study Results
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plot_synthetic_control() - Plot Synthetic Control Results
Data & Datasets
Functions for downloading stock prices, factor data, and risk-free rates, plus bundled example datasets.
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download_stock_data() - Download Stock Data
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download_factor_data() - Download Factor Data
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download_risk_free_rate() - Download Risk-Free Rate
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dieselgate - Volkswagen "Dieselgate" Multi-Automaker Event Study Dataset
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earnings_surprises - Earnings Surprise Multi-Firm Event Study Dataset