KolariPynnonenTest: Kolari-Pynnoenen Adjusted BMP Test

In EventStudy: Event Study Analysis

Kolari-Pynnoenen Adjusted BMP Test

Description

Adjusts the BMP (Boehmer, Musumeci, Poulsen 1991) test for cross-sectional correlation of abnormal returns using the Kolari and Pynnoenen (2010) correction. Abnormal returns are standardized by each event's MODEL sigma (model$statistics$sigma, same as BMPTest) – not the forecast-error-corrected sigma. The adjustment scales the BMP statistic by a factor that accounts for the average pairwise correlation of standardized abnormal residuals in the estimation window, computed only over "usable" events (at least 2 finite estimation-window SARs, finite model sigma, and non-constant/non-degenerate SAR variance). The adjustment is never silently substituted with 1: an event that cannot contribute a usable estimation-window series is excluded from the correlation estimate and reported once; if fewer than 2 usable events remain, kp_t and ckp_t are NA.

Super class

TestStatisticBase -> KolariPynnonenTest

Public fields

name

Short code of the test statistic.

Methods

Public methods

• KolariPynnonenTest$compute()

• KolariPynnonenTest$clone()

Inherited methods

• TestStatisticBase$initialize()

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KolariPynnonenTest$compute()

Computes the Kolari-Pynnoenen adjusted BMP test.

Usage

KolariPynnonenTest$compute(data_tbl, model)

Arguments

data_tbl

The data for a multiple event with calculated abnormal returns.

model

The fitted model containing sigma estimates.

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KolariPynnonenTest$clone()

The objects of this class are cloneable with this method.

Usage

KolariPynnonenTest$clone(deep = FALSE)

Arguments

deep

Whether to make a deep clone.

References

Kolari, J. W. and Pynnoenen, S. (2010). Event Study Testing with Cross-sectional Correlation of Abnormal Returns. The Review of Financial Studies, 23(11), 3996–4025.

See Also

Other eventstudy-statistics: ARTTest, BHARTTest, BMPTest, CARTTest, CSectTTest, CalendarTimePortfolioTest, GeneralizedSignTest, 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.