[Uwgarp-commits] r142 - in pkg/GARPFRM: data man vignettes

noreply at r-forge.r-project.org noreply at r-forge.r-project.org
Thu Mar 27 17:19:03 CET 2014


Author: rossbennett34
Date: 2014-03-27 17:19:03 +0100 (Thu, 27 Mar 2014)
New Revision: 142

Modified:
   pkg/GARPFRM/data/consumption.rda
   pkg/GARPFRM/man/consumption.Rd
   pkg/GARPFRM/vignettes/CAPM_TF.Rnw
   pkg/GARPFRM/vignettes/CAPM_TF.pdf
Log:
Fixing data alignment in CAPM vignette

Modified: pkg/GARPFRM/data/consumption.rda
===================================================================
(Binary files differ)

Modified: pkg/GARPFRM/man/consumption.Rd
===================================================================
--- pkg/GARPFRM/man/consumption.Rd	2014-03-27 15:48:21 UTC (rev 141)
+++ pkg/GARPFRM/man/consumption.Rd	2014-03-27 16:19:03 UTC (rev 142)
@@ -5,7 +5,7 @@
 \description{
 Monthly consumption data of what?
 }
-\usage{consumption data}
+\usage{consumption}
 \details{
 Where did we get the consumption data?
 What are the details of the consumption data? Consumption of what?
@@ -18,40 +18,7 @@
 
 }
 \examples{
-data(crsp.short)
-head(largecap.ts)
+data(consumption)
+head(consumption)
 }
 \keyword{datasets}
-
-
-\name{z}
-\alias{z}
-\docType{data}
-\title{
-%%   ~~ data name/kind ... ~~
-}
-\description{
-%%  ~~ A concise (1-5 lines) description of the dataset. ~~
-}
-\usage{data(z)}
-\format{
-  A data frame with 0 observations on the following 2 variables.
-  \describe{
-    \item{\code{x}}{a numeric vector}
-    \item{\code{y}}{a numeric vector}
-  }
-}
-\details{
-%%  ~~ If necessary, more details than the __description__ above ~~
-}
-\source{
-%%  ~~ reference to a publication or URL from which the data were obtained ~~
-}
-\references{
-%%  ~~ possibly secondary sources and usages ~~
-}
-\examples{
-data(z)
-## maybe str(z) ; plot(z) ...
-}
-\keyword{datasets}

Modified: pkg/GARPFRM/vignettes/CAPM_TF.Rnw
===================================================================
--- pkg/GARPFRM/vignettes/CAPM_TF.Rnw	2014-03-27 15:48:21 UTC (rev 141)
+++ pkg/GARPFRM/vignettes/CAPM_TF.Rnw	2014-03-27 16:19:03 UTC (rev 142)
@@ -81,6 +81,7 @@
 # Count the number of rows: sample size.
 nrow(stock.df)
 @
+
 \subsection{Estimate Excess Returns}
 Estimate excess returns: subtracting off risk-free rate.
 <<ex3>>=
@@ -99,6 +100,7 @@
 # Plot data with regression line
 plot(uv)
 @
+
 \subsection{CAPM Model: Multiple Asset Analysis}
 Run CAPM regression
 <<ex5>>=
@@ -109,6 +111,7 @@
 # Plot data with regression line
 plot(mlm)
 @
+
 \section{Testing CAPM}
 \subsection{Retrieve $\alpha$ \& $\beta$ and Estimate Result Significance}
 Retrieve $\alpha$ \& $\beta$ from CAPM object for one or multiple assets and run hypothesis test.
@@ -136,18 +139,23 @@
 
 \section{Consumption-Oriented CAPM}
 \subsection{Fitting C-CAPM}
+
 Run C-CAPM regression for CONS (Consumption).
 <<ex8>>=
 # Load FED consumption data: CONS
-data(cons)
-cons <- xts(cons[,2], index(largecap.ts))
-colnames(cons)= c("CONS")
+data(consumption)
 
-capm.cons = CAPM(cons, mrkt)
+# Convert to yearmon index and align consumption and mrkt
+consumption <- xts(consumption, as.yearmon(index(consumption)))
+mrkt <- xts(mrkt, as.yearmon(index(mrkt)))
+consumption <- consumption[index(mrkt)]
+
+capm.cons = CAPM(consumption, mrkt)
 coef(summary(capm.cons))
 
 # Plot data with regression line
 plot(capm.cons)
 @
-NOTE: Specific problems with CCAPM is that it suffers from two puzzles: the equity premium puzzle (EPP) and the risk-free rate puzzle (RFRP). EPP implies that investors are extremely risk averse to explain the existence of a market risk premium. While RFRP stipulates that investors save in TBills despite the low rate of return.
-\end{document}
\ No newline at end of file
+
+NOTE: Specific problems with C-CAPM is that it suffers from two puzzles: the equity premium puzzle (EPP) and the risk-free rate puzzle (RFRP). EPP implies that investors are extremely risk averse to explain the existence of a market risk premium. While RFRP stipulates that investors save in TBills despite the low rate of return.
+\end{document}

Modified: pkg/GARPFRM/vignettes/CAPM_TF.pdf
===================================================================
--- pkg/GARPFRM/vignettes/CAPM_TF.pdf	2014-03-27 15:48:21 UTC (rev 141)
+++ pkg/GARPFRM/vignettes/CAPM_TF.pdf	2014-03-27 16:19:03 UTC (rev 142)
@@ -1,39 +1,49 @@
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[TRUNCATED]

To get the complete diff run:
    svnlook diff /svnroot/uwgarp -r 142


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