3 packages on CRAN
Based on Dutta et al. (2018) <doi:10.1016/j.jempfin.2018.02.004>, 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) <doi:10.1016/B978-0-444-53265-7.50015-9>. 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) <10.1198/jbes.2010.07136> 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.
Test for monotonicity in financial variables sorted by portfolios. It is conventional practice in empirical research to form portfolios of assets ranked by a certain sort variable. A t-test is then used to consider the mean return spread between the portfolios with the highest and lowest values of the sort variable. Yet comparing only the average returns on the top and bottom portfolios does not provide a sufficient way to test for a monotonic relation between expected returns and the sort variable. This package provides nonparametric tests for the full set of monotonic patterns by Patton, A. and Timmermann, A. (2010) <doi:10.1016/0304-4076(89)90094-8> and compares the proposed results with extant alternatives such as t-tests, Bonferroni bounds, and multivariate inequality tests through empirical applications and simulations.
The ANU Quantum Random Number Generator provided by the Australian National University generates true random numbers in real-time by measuring the quantum fluctuations of the vacuum. This package offers an interface using their API. The electromagnetic field of the vacuum exhibits random fluctuations in phase and amplitude at all frequencies. By carefully measuring these fluctuations, one is able to generate ultra-high bandwidth random numbers. The quantum Random Number Generator is based on the papers by Symul et al., (2011) <doi:10.1063/1.3597793> and Haw, et al. (2015) <doi:10.1103/PhysRevApplied.3.054004>. The package offers functions to retrieve a sequence of random integers or hexadecimals and true random samples from a normal or uniform distribution.