BMPTest: BMP Test (Boehmer, Musumeci, Poulsen 1991)

In EventStudy: Event Study Analysis

BMP Test (Boehmer, Musumeci, Poulsen 1991)

Description

Standardized cross-sectional test that is robust to event-induced variance increases. The BMP test standardizes abnormal returns by each event's MODEL sigma (the estimation-window residual standard deviation, i.e. model$statistics$sigma) – NOT by the forecast-error-corrected sigma – then applies a cross-sectional t-test to these standardized residuals.

Super class

TestStatisticBase -> BMPTest

Public fields

name

Short code of the test statistic.

Methods

Public methods

• BMPTest$compute()

• BMPTest$clone()

Inherited methods

• TestStatisticBase$initialize()

---

BMPTest$compute()

Computes the BMP standardized cross-sectional test.

Usage

BMPTest$compute(data_tbl, model)

Arguments

data_tbl

The data for a multiple event with calculated abnormal returns.

model

The fitted model containing sigma estimates.

---

BMPTest$clone()

The objects of this class are cloneable with this method.

Usage

BMPTest$clone(deep = FALSE)

Arguments

deep

Whether to make a deep clone.

See Also

Other eventstudy-statistics: ARTTest, BHARTTest, CARTTest, CSectTTest, CalendarTimePortfolioTest, GeneralizedSignTest, KolariPynnonenTest, MultiEventStatisticsSet, PatellZTest, RankTest, SignTest, SingleEventStatisticsSet, StatisticsSetBase, TestStatisticBase, adjust_p_values(), bootstrap_test(), car_by_group(), car_quantiles(), cross_sectional_regression(), model_diagnostics(), pretrend_test(), simulate_event_study(), validate_task()

EventStudy documentation built on Oct. 31, 2026, 1:07 a.m.