[Returnanalytics-commits] r2650 - in pkg/FactorAnalytics: R man

[noreply at r-forge.r-project.org]

Author: chenyian
Date: 2013-07-26 21:45:12 +0200 (Fri, 26 Jul 2013)
New Revision: 2650

Modified:
   pkg/FactorAnalytics/R/fitFundamentalFactorModel.R
   pkg/FactorAnalytics/R/summary.FundamentalFactorModel.r
   pkg/FactorAnalytics/man/summary.FundamentalFactorModel.Rd
Log:
add summary.FundamentalFactorModel.Rd and summary.FundamentalFactorModel.r

Modified: pkg/FactorAnalytics/R/fitFundamentalFactorModel.R
===================================================================
--- pkg/FactorAnalytics/R/fitFundamentalFactorModel.R	2013-07-26 18:08:20 UTC (rev 2649)
+++ pkg/FactorAnalytics/R/fitFundamentalFactorModel.R	2013-07-26 19:45:12 UTC (rev 2650)
@@ -411,8 +411,10 @@
 #    SSE <-  apply(fit.fund$residuals^2,2,sum) 
 #    SST <- tapply(data[,returnsvar],data[,assetvar],function(x) sum((x-mean(x))^2))
 #   r2 <- 1- SSE/SST                                  
-                                    
 
+# change names for intercept
+colnames(f.hat)[1] <- "Intercept"
+
     output <- list(returns.cov = Cov.returns, 
                    factor.cov = Cov.factors, 
                    resids.cov = Cov.resids, 

Modified: pkg/FactorAnalytics/R/summary.FundamentalFactorModel.r
===================================================================
--- pkg/FactorAnalytics/R/summary.FundamentalFactorModel.r	2013-07-26 18:08:20 UTC (rev 2649)
+++ pkg/FactorAnalytics/R/summary.FundamentalFactorModel.r	2013-07-26 19:45:12 UTC (rev 2650)
@@ -1,18 +1,48 @@
-#' summary method for FundamentalFactorModel
+#' summary FundamentalFactorModel object
 #' 
-#' Generic function of summary method for fitTimeSeriesFactorModel.
+#' Generic function of summary method for fitFundamentalFactorModel.
 #' 
-#' @param fit it object created by fitFundamentalFactorModel.
 #' 
-#' @author Yi-An Chen
+#' @param fit.fund fit object created by fitFundamentalFactorModel.
+#' @param digits integer indicating the number of decimal places. Default is 3.
+#' @param ...  Other arguments for print methods.
+#' @author Yi-An Chen.
+#' @examples
 #' 
+#' data(stock)
+#' # there are 447 assets  
+#' exposure.names <- c("BOOK2MARKET", "LOG.MARKETCAP") 
+#' test.fit <- fitFundamentalFactorModel(data=data,exposure.names=exposure.names,
+#'                                        datevar = "DATE", returnsvar = "RETURN",
+#'                                        assetvar = "TICKER", wls = TRUE, 
+#'                                        regression = "classic", 
+#'                                        covariance = "classic", full.resid.cov = TRUE, 
+#'                                        robust.scale = TRUE)
 #' 
+#' summary(test.fit)
 #' 
-#' @export
-#' 
-
-summary.FundamentalFactorModel <- function(fit) {
-dim(fit$factors)
-print(fit$factors) 
+#' @export 
+summary.FundamentalFactorModel <-
+  function(fit.fund, digits = max(3, .Options$digits - 3), ...)
+  {
+    if(!is.null(cl <- fit.fund$call)) {
+      cat("\nCall:\n")
+      dput(cl)
+    }
   
-}
\ No newline at end of file
+    cat("\nFactor Returns:\n")
+    n <- dim(fit.fund$factor.returns)[1]
+    k <- dim(fit.fund$factor.returns)[2]
+    se.beta <- fit.fund$factor.returns/fit.fund$tstat
+    pvalue <- 1- pt(fit.fund$tstat,df=n-k)
+    table.fund <- cbind(fit.fund$factor.returns[,1],se.beta[,1],fit.fund$tstat[,1])
+    f.names <- colnames(fit.fund$factor.returns)
+    for (i in 1:k) {
+    cat("\n",f.names[i],"\n")
+    table.fund <- cbind(fit.fund$factor.returns[,i],se.beta[,i],fit.fund$tstat[,i],pvalue[,i])
+    colnames(table.fund)[1:4] <- c("Estimate","Std. Error","t value","Pr(>|t|)")
+    print(table.fund, digits = digits,...)
+    }
+    cat("\nResidual Variance:\n")
+    print(fit.fund$resid.variance, digits = digits, ...)
+  }

Modified: pkg/FactorAnalytics/man/summary.FundamentalFactorModel.Rd
===================================================================
--- pkg/FactorAnalytics/man/summary.FundamentalFactorModel.Rd	2013-07-26 18:08:20 UTC (rev 2649)
+++ pkg/FactorAnalytics/man/summary.FundamentalFactorModel.Rd	2013-07-26 19:45:12 UTC (rev 2650)
@@ -1,18 +1,37 @@
 \name{summary.FundamentalFactorModel}
 \alias{summary.FundamentalFactorModel}
-\title{summary method for FundamentalFactorModel}
+\title{summary FundamentalFactorModel object}
 \usage{
-  summary.FundamentalFactorModel(fit)
+  summary.FundamentalFactorModel(fit.fund,
+    digits = max(3, .Options$digits - 3), ...)
 }
 \arguments{
-  \item{fit}{it object created by
+  \item{fit.fund}{fit object created by
   fitFundamentalFactorModel.}
+
+  \item{digits}{integer indicating the number of decimal
+  places. Default is 3.}
+
+  \item{...}{Other arguments for print methods.}
 }
 \description{
   Generic function of summary method for
-  fitTimeSeriesFactorModel.
+  fitFundamentalFactorModel.
 }
+\examples{
+data(stock)
+# there are 447 assets
+exposure.names <- c("BOOK2MARKET", "LOG.MARKETCAP")
+test.fit <- fitFundamentalFactorModel(data=data,exposure.names=exposure.names,
+                                       datevar = "DATE", returnsvar = "RETURN",
+                                       assetvar = "TICKER", wls = TRUE,
+                                       regression = "classic",
+                                       covariance = "classic", full.resid.cov = TRUE,
+                                       robust.scale = TRUE)
+
+summary(test.fit)
+}
 \author{
-  Yi-An Chen
+  Yi-An Chen.
 }