Other packages > Find by keyword >

crseEventStudy  

A Robust and Powerful Test of Abnormal Stock Returns in Long-Horizon Event Studies
View on CRAN: Click here


Download and install crseEventStudy package within the R console
Install from CRAN:
install.packages("crseEventStudy")

Install from Github:
library("remotes")
install_github("cran/crseEventStudy")

Install by package version:
library("remotes")
install_version("crseEventStudy", "1.2.2")



Attach the package and use:
library("crseEventStudy")
Maintained by
Siegfried Köstlmeier
[Scholar Profile | Author Map]
All associated links for this package
First Published: 2018-11-15
Latest Update: 2022-02-23
Description:
Based on Dutta et al. (2018) , this package provides their standardized test for abnormal returns in long-horizon event studies. The methods used improve the major weaknesses of size, power, and robustness of long-run statistical tests described in Kothari/Warner (2007) . Abnormal returns are weighted by their statistical precision (i.e., standard deviation), resulting in abnormal standardized returns. This procedure efficiently captures the heteroskedasticity problem. Clustering techniques following Cameron et al. (2011) are adopted for computing cross-sectional correlation robust standard errors. The statistical tests in this package therefore accounts for potential biases arising from returns' cross-sectional correlation, autocorrelation, and volatility clustering without power loss.
How to cite:
Siegfried Köstlmeier (2018). crseEventStudy: A Robust and Powerful Test of Abnormal Stock Returns in Long-Horizon Event Studies. R package version 1.2.2, https://cran.r-project.org/web/packages/crseEventStudy. Accessed 22 Dec. 2024.
Previous versions and publish date:
1.0 (2018-11-15 18:40), 1.1 (2019-02-13 18:00), 1.2.1 (2021-01-11 14:20), 1.2 (2019-08-20 12:00)
Other packages that cited crseEventStudy R package
View crseEventStudy citation profile
Other R packages that crseEventStudy depends, imports, suggests or enhances
Complete documentation for crseEventStudy
Functions, R codes and Examples using the crseEventStudy R package
Some associated functions: asr . crseEvent . demo_returns . demo_share_repurchases . sar . 
Some associated R codes: asr.R . check_data.R . crseEvent.R . sar.R .  Full crseEventStudy package functions and examples
Downloads during the last 30 days
Get rewarded with contribution points by helping add
Reviews / comments / questions /suggestions ↴↴↴

Today's Hot Picks in Authors and Packages

Rfast2  
A Collection of Efficient and Extremely Fast R Functions II
A collection of fast statistical and utility functions for data analysis. Functions for regression, ...
Download / Learn more Package Citations See dependency  
quickcode  
Quick and Essential 'R' Tricks for Better Scripts
The NOT functions, 'R' tricks and a compilation of some simple quick plus often used 'R' codes to im ...
Download / Learn more Package Citations See dependency  
elect  
Estimation of Life Expectancies Using Multi-State Models
Functions to compute state-specific and marginal life expectancies. The computation is based on a fi ...
Download / Learn more Package Citations See dependency  
dmlalg  
Double Machine Learning Algorithms
Implementation of double machine learning (DML) algorithms in R, based on Emmenegger and Buehlmann ...
Download / Learn more Package Citations See dependency  
composits  
Compositional, Multivariate and Univariate Time Series Outlier Ensemble
A compositional multivariate and univariate time series outlier ensemble.It uses the four R packages ...
Download / Learn more Package Citations See dependency  
tropAlgebra  
Tropical Algebraic Functions
It includes functions like tropical addition, tropical multiplication for vectors and matrices. In t ...
Download / Learn more Package Citations See dependency  

23,394

R Packages

201,798

Dependencies

63,416

Author Associations

23,395

Publication Badges

© Copyright 2022 - present. All right reserved, rpkg.net.  Based in Cambridge, Massachusetts, USA