README.md

In waissbluth/skewttest: Bootstrapped Skewness-Adjusted t-test

Bootstrapped skewness-adjusted t-test

Implementation in R of the Bootstrapped Skewness-Adjusted t-test for testing long run mean abnormal returns as in "Improved Methods for Tests of Long-Run Abnormal Stock Returns" by Lyon et al (1999).

Installation

install_github('waissbluth/skewttest')
library('skewttest')
# Read the docs:
?skewt.test

Usage

# Generate 100 samples from a gamma distribution
x <- rgamma(100,2,1)
# Perform a skewed t-test
skewt.test(x, mu=2)
# Compare to traditional t-test
t.test(x, mu=2)

Author

Nicolás Waissbluth

License

GNU General Public License v3.0

waissbluth/skewttest documentation built on May 3, 2019, 8:10 p.m.