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Pre-trend Test for Event Study

Source: R/diagnostics.R
pretrend_test.Rd

Performs a joint F-test of pre-event abnormal returns to assess whether there are statistically significant pre-event effects, which would indicate potential model misspecification or confounding.

Usage

pretrend_test(task, group = NULL)

Arguments

task

A fitted EventStudyTask with abnormal returns computed.

group

Optional group to filter by.

Value

A tibble with pre-trend test results for each group.

See also

Other eventstudy-statistics: ARTTest, BHARTTest, BMPTest, CARTTest, CSectTTest, CalendarTimePortfolioTest, GeneralizedSignTest, KolariPynnonenTest, MultiEventStatisticsSet, PatellZTest, RankTest, SignTest, SingleEventStatisticsSet, StatisticsSetBase, TestStatisticBase, adjust_p_values(), bootstrap_test(), car_by_group(), car_quantiles(), cross_sectional_regression(), model_diagnostics(), simulate_event_study(), validate_task()