Package: crseEventStudy Type: Package Title: A Robust and Powerful Test of Abnormal Stock Returns in Long-Horizon Event Studies Version: 1.2.2 Date: 2021-02-22 Authors@R: c(person(given = "Siegfried", family = "Köstlmeier", role = c("aut", "cre"), email = "siegfried.koestlmeier@gmail.com", comment = c(ORCID = "0000-0002-7221-6981")), person(given = "Seppo", family = "Pynnonen", role = c("aut"), email = "sjp@uwasa.fi")) Maintainer: Siegfried Köstlmeier Description: Based on Dutta et al. (2018) , 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) . 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) 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. License: BSD_3_clause + file LICENSE URL: https://github.com/skoestlmeier/crseEventStudy Imports: methods, stats, sandwich Suggests: testthat Depends: R (>= 3.5) Encoding: UTF-8 LazyData: true Repository: https://skoestlmeier.r-universe.dev Date/Publication: 2022-02-22 13:22:28 UTC RemoteUrl: https://github.com/skoestlmeier/crseeventstudy RemoteRef: HEAD RemoteSha: aa6e66083784bb6b963a463117e52f55c4a407dc NeedsCompilation: no Packaged: 2026-06-10 09:08:55 UTC; root Author: Siegfried Köstlmeier [aut, cre] (ORCID: ), Seppo Pynnonen [aut]