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).
install_github('waissbluth/skewttest')library('skewttest')# Read the docs:?skewt.test
# Generate 100 samples from a gamma distributionx <- rgamma(100,2,1)# Perform a skewed t-testskewt.test(x, mu=2)# Compare to traditional t-testt.test(x, mu=2)
Nicolás Waissbluth