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.
To install a current stable release from CRAN use:
install.packages("estudy2")To install the development version of estudy2 use:
# install.packages("devtools")
# library("devtools")
devtools::install_github("irudnyts/estudy2")The package is equipped with a demonstration Shiny app that can be run locally with:
library("estudy2")
run_app()Otherwise, one can explore the deployed version using this link.