eventstudies (version 1.1)

inference.Ecar: Bootstrap inference for the event study.

Description

This function does bootstrap inference to generate distribution of average of all the cumulative returns time-series.

Usage

inference.Ecar(z.e,to.plot=FALSE)

Arguments

z.e

z.e is the first component of the list returned by the function phys2eventtime.

to.plot

This argument will generate an eventstudy plot of the inference estimated. If to.plot is equal to TRUE then function would generate the plot else it would not.

Value

A data frame with 3 columns, the lower confidence interval (CI), the mean and the upper CI which are the result of bootstrap inference.

See Also

phys2eventtime

Examples

data(StockPriceReturns)
data(SplitDates)
es.results <- phys2eventtime(z=StockPriceReturns, events=SplitDates,width=5)
es.w <- window(es.results$z.e, start=-5, end=+5)
eventtime <- remap.cumsum(es.w, is.pc=FALSE, base=0)
inference.Ecar(z.e=eventtime, to.plot=FALSE)