eventstudytools — R API wrapper

Lightweight R client for the eventstudytools.com research apps: run abnormal-return event studies (and the other research apps) straight from R. Only two dependencies: curl and jsonlite.

Looking for the full-featured CRAN package with parameter objects, result parsers and RStudio addin? See EventStudy. This package is its lean, dependency-light successor for scripted workflows.

Installation

# install.packages("remotes")
remotes::install_github("EventStudyTools/r-wrapper")

API key

Request your free API key at eventstudytools.com/api-key. Pass it to est_client() or set the EST_API_KEY environment variable.

Quickstart: abnormal-return event study (ARC)

library(eventstudytools)

client <- est_client("YOUR_API_KEY")

results <- est_run_study(
  client,
  est_arc_params(benchmark_model = "mm", return_type = "log"),
  files = c(request_file = "01_RequestFile.csv",
            firm_data    = "02_FirmData.csv",
            market_data  = "03_MarketData.csv"),
  dest_dir = "results"
)

results$local_path
caar <- read.csv2(results$local_path[results$basename == "caar_results.csv"])

Try it immediately with the bundled sample data (20 US firms, S&P 500 benchmark):

results <- est_run_study(client, est_arc_params(), est_sample_files())

Step-by-step API

est_run_study() wraps the protocol steps; you can also drive them yourself:

token   <- est_authenticate(client)
est_configure(client, token, est_arc_params())
est_upload(client, token, "request_file", "01_RequestFile.csv")
est_upload(client, token, "firm_data", "02_FirmData.csv")
est_upload(client, token, "market_data", "03_MarketData.csv")
est_commit(client, token)
results <- est_process(client, token)
results <- est_download(client, results, "results")

Input files

Semicolon-separated CSV files without header rows, dates as dd.mm.yyyy.

Request file (one row per event): Event ID; Firm ID; Market ID; Event date; Grouping variable; Event window start; Event window end; Estimation window end; Estimation window length.

Firm data: Firm ID; Date; Closing price — Market data: Market ID; Date; Index value.

Parameters (ARC)

Parameter	Values	Default
benchmark_model	mm, mm-sw, mam, cpmam, ff3fm, ffm4fm, ff5fm, garch, egarch, capm	mm
return_type	log, simple	log
non_trading_days	later, earlier, keep, skip	later
result_file_type	csv, xls, xlsx, ods	csv
test_statistics	see est_test_statistics()	six workhorse statistics

Other research apps

est_avc_params() (abnormal volume), est_avyc_params() (abnormal volatility), est_cata_params() (news analytics; text_data + keywords_data), est_edi_params() (event date identification; text_data).

License

MIT