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eventstudies

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An R package for conducting event studies and a platform for methodological research on event studies.

Installation

Stable version

Release notes: https://github.com/nipfpmf/eventstudies/releases/tag/v1.2.2

Current stable version of eventstudies is v1.2.2. It can be installed directly from CRAN or via GitHub.

install.packages("eventstudies")                                                    
  • GitHub
devtools::install_github("nipfpmf/eventstudies", ref="v1.2.2") 

Latest version

Latest/unstable version of the package can be installed via GitHub:

devtools::install_github("nipfpmf/eventstudies", ref="master")

Usage

data("SplitDates", package = "eventstudies")
data("StockPriceReturns", package = "eventstudies")
data("OtherReturns", package = "eventstudies")

es <- eventstudies::eventstudy(firm.returns = StockPriceReturns,
         event.list = SplitDates,
         event.window = 7,
         type = "marketModel",
         to.remap = TRUE,
         remap = "cumsum",
         inference = TRUE,
         inference.strategy = "bootstrap",
         model.args = list(
             market.returns = OtherReturns[, "NiftyIndex"]
             )
         )
plot(es)

Help

?eventstudy
vignette("eventstudies", package = "eventstudies")
examples("eventstudy", package = "eventstudies")

Contributing

  1. Fork it!
  2. Create your feature branch: git checkout -b my-new-feature
  3. Commit your changes: git commit -am 'Add some feature'
  4. Push to the branch: git push origin my-new-feature
  5. Submit a pull request

History

This repository was moved from R-forge before the release of v1.2:

https://r-forge.r-project.org/projects/eventstudies

License

GPL-2

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An R package for conducting event studies and a platform for methodological research on event studies.

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