[Uwgarp-commits] r145 - in pkg/GARPFRM: R man

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

Author: rossbennett34
Date: 2014-03-27 21:03:20 +0100 (Thu, 27 Mar 2014)
New Revision: 145

Modified:
   pkg/GARPFRM/R/capm.R
   pkg/GARPFRM/man/hypTest.Rd
Log:
Adding comments and updating man file for CAPM hypothesis test

Modified: pkg/GARPFRM/R/capm.R
===================================================================
--- pkg/GARPFRM/R/capm.R	2014-03-27 20:01:38 UTC (rev 144)
+++ pkg/GARPFRM/R/capm.R	2014-03-27 20:03:20 UTC (rev 145)
@@ -229,16 +229,28 @@
   legend("topleft",1, "Estimated SML",1)                  
 }
 
+# The current CAPM Hypothesis test uses the t-statistic and p-value from the
+# summary.lm() method. This tests if the coefficients are significantly 
+# different from 0. I thought the idea was to write a different hypothesis
+# test that alphas are significantly different from 0 and betas are 
+# significantly different from 1? -RB
+
 #' CAPM Hypothesis Test
 #' 
-#' Description of CAPM beta/alpha hypothesis test
-#' TODO: We need to clearly define the null hypothesis here
+#' Test the CAPM coefficients for significance.
 #' 
-#' Generalization is termed a two-sided or two-tailed test. 
-#' Returns a true (reject) or false (fail to reject).
+#' @details
+#' TODO: We need to clearly define the null hypothesis here.
+#' This test if the coefficients are significantly different from 0. The null
+#' hypothesis is that the coefficients are equal to 0. If the p-value is less
+#' than the specified confidence level, the null hypothesis is rejected meaning
+#' that the coefficients are significantly different from 0. If the p-value is
+#' greater than the specified confidence level, the null hypothesis cannot be
+#' rejected.
 #' 
 #' @param object a capm object created by \code{\link{CAPM}}
 #' @param CI confidence level
+#' @return TRUE/FALSE if the null hypothesis is rejected
 #' @export
 hypTest <- function(object,CI){
   UseMethod("hypTest")

Modified: pkg/GARPFRM/man/hypTest.Rd
===================================================================
--- pkg/GARPFRM/man/hypTest.Rd	2014-03-27 20:01:38 UTC (rev 144)
+++ pkg/GARPFRM/man/hypTest.Rd	2014-03-27 20:03:20 UTC (rev 145)
@@ -10,12 +10,20 @@
 
   \item{CI}{confidence level}
 }
+\value{
+  TRUE/FALSE if the null hypothesis is rejected
+}
 \description{
-  Description of CAPM beta/alpha hypothesis test TODO: We
-  need to clearly define the null hypothesis here
+  Test the CAPM coefficients for significance.
 }
 \details{
-  Generalization is termed a two-sided or two-tailed test.
-  Returns a true (reject) or false (fail to reject).
+  TODO: We need to clearly define the null hypothesis here.
+  This test if the coefficients are significantly different
+  from 0. The null hypothesis is that the coefficients are
+  equal to 0. If the p-value is less than the specified
+  confidence level, the null hypothesis is rejected meaning
+  that the coefficients are significantly different from 0.
+  If the p-value is greater than the specified confidence
+  level, the null hypothesis cannot be rejected.
 }