car_nonparametric_tests {estudy2}R Documentation

Returns the result of given event study nonparametric CAR tests.

Description

Performs given tests to examine the statistical significance of the CAR of a given period.

Usage

car_nonparametric_tests(list_of_returns, car_start, car_end,
  percentage = 90, all = TRUE, tests)

Arguments

list_of_returns

a list of objects of S3 class returns, each element of which is treated as a security.

car_start

an object of Date class giving the first date of the CAR period.

car_end

an object of Date class giving the last date of the CAR period.

percentage

a lowest allowed percentage of non-missing observation for each day to be incorporated into CAR. The default value is 90 percent.

all

a logical value indicating whether all tests should be performed. The default value is TRUE. Note, only car_rank_test will be performed.

tests

a list of tests' functions. Currently, only car_rank_test is allowed.

Details

Currently, car_nonparametric_tests performs only car_rank_test test. This function was developed for the sake of completeness and can be used for future extensions of the package.

Value

A data frame of the following columns:

References

See Also

car_rank_test.

Examples

## Not run: 
library("magrittr")
rates_indx <- get_prices_from_tickers("^STOXX50E",
                                      start = as.Date("2000-01-01"),
                                      end = as.Date("2002-01-01"),
                                      quote = "Close",
                                      retclass = "zoo") %>%
    get_rates_from_prices(quote = "Close",
                          multi_day = TRUE,
                          compounding = "continuous")
tickers <- c("ALV.DE", "CS.PA", "G.MI", "HNR1.HA", "HSX.L", "MUV2.DE",
             "RSA.L", "TOP.CO")
nine_eleven_car_param <- get_prices_from_tickers(tickers,
                                                 start = as.Date("2000-01-01"),
                                                 end = as.Date("2002-01-01"),
                                                 quote = "Close",
                                                 retclass = "zoo") %>%
    get_rates_from_prices(quote = "Close",
                          multi_day = TRUE,
                          compounding = "continuous") %>%
    apply_market_model(regressor = rates_indx,
                       same_regressor_for_all = TRUE,
                       market_model = "sim",
                       estimation_method = "ols",
                       estimation_start = as.Date("2001-03-26"),
                       estimation_end = as.Date("2001-09-10")) %>%
    car_nonparametric_tests(car_start = as.Date("2001-09-11"),
                            car_end = as.Date("2001-09-28"))

## End(Not run)
## The result of the code above is equivalent to:
data(securities_returns)
nine_eleven_car_param <- car_nonparametric_tests(
    list_of_returns = securities_returns,
    car_start = as.Date("2001-09-11"),
    car_end = as.Date("2001-09-28")
)


[Package estudy2 version 0.9.0 Index]