An implementation of a most commonly used event study methodology, including both parametric and nonparametric tests. It contains variety aspects of the rate of return estimation (the core calculation is done in C++), as well as three classical market models: mean adjusted returns, market adjusted returns and single-index market models. There are 6 parametric and 6 nonparametric tests provided, which examine cross-sectional daily abnormal return (see the documentation of the functions for more information). Furthermore, tests for the cumulative abnormal returns are included.
The package is not submitted to CRAN and is located in a GitHub repository. To install the development version of estudy2 use:
# install.packages("devtools") # library("devtools") devtools::install_github("irudnyts/estudy2")