[Eventstudies-commits] r49 - pkg/man
noreply at r-forge.r-project.org
noreply at r-forge.r-project.org
Thu Apr 4 08:49:50 CEST 2013
Author: vikram
Date: 2013-04-04 08:49:50 +0200 (Thu, 04 Apr 2013)
New Revision: 49
Added:
pkg/man/eventDays.Rd
pkg/man/eventstudyData.Rd
Modified:
pkg/man/eventstudy-package.Rd
pkg/man/inference.change.boot.Rd
pkg/man/phys2eventtime.Rd
pkg/man/remap.cumprod.Rd
pkg/man/remap.cumsum.Rd
pkg/man/remap.event.reindex.Rd
Log:
Added examples in documentation to remap; Added eventDays and eventstudyData documentation; some minor modifications
Added: pkg/man/eventDays.Rd
===================================================================
--- pkg/man/eventDays.Rd (rev 0)
+++ pkg/man/eventDays.Rd 2013-04-04 06:49:50 UTC (rev 49)
@@ -0,0 +1,20 @@
+\name{eventDays}
+
+\docType{data}
+
+\alias{eventDays}
+
+\title{List of event dates for S&P 500}
+
+\description{
+ This series is an input for the examples in the eventstudy framework. It is a data frame with two columns 'unit' and 'when'. The column 'when' has event dates for S&P 500 while column 'unit' has list of response series' column names. In this data frame, 'unit' is 'nifty' which corresponds with column name of the 'eventstudyData'. Here, 1% tail values are termed as extreme events days, in this example we take upper tail events.
+}
+
+\usage{data(eventDays)}
+
+\format{An object with class attributes \code{data.frame} containing event dates for eventstudy.}
+
+\examples{
+ data(eventDays)
+}
+\keyword{datasets}
Modified: pkg/man/eventstudy-package.Rd
===================================================================
--- pkg/man/eventstudy-package.Rd 2013-04-03 18:59:19 UTC (rev 48)
+++ pkg/man/eventstudy-package.Rd 2013-04-04 06:49:50 UTC (rev 49)
@@ -15,7 +15,7 @@
Package: \tab eventstudy\cr
Type: \tab Package\cr
Version: \tab 1.0\cr
-Date: \tab 2011-01-04\cr
+Date: \tab 2013-04-04\cr
License: \tab GPL 2\cr
LazyLoad: \tab yes\cr
}
@@ -26,9 +26,9 @@
}
\author{
-Ajay Shah,Vimal Balasubramniam, Vikram Bahure
+Ajay Shah, Vimal Balasubramniam, Vikram Bahure
-Maintainer: vimsaa at gmail.com
+Maintainer: economics.vikram at gmail.com
}
\keyword{ eventstudies }
Added: pkg/man/eventstudyData.Rd
===================================================================
--- pkg/man/eventstudyData.Rd (rev 0)
+++ pkg/man/eventstudyData.Rd 2013-04-04 06:49:50 UTC (rev 49)
@@ -0,0 +1,24 @@
+\name{eventstudyData}
+
+\docType{data}
+
+\alias{eventstudyData}
+
+\title{It is the data-set used for event-study analysis.}
+
+\description{
+It is a time series object with daily series for S&P 500, Nifty and Net FII flows in India.
+}
+
+\usage{data(eventstudyData)}
+
+\format{An object with class attributes \code{zoo} containing resposne series for eventstudy.}
+
+\seealso{
+eventDays
+}
+
+\examples{
+ data(eventstudyData)
+}
+\keyword{datasets}
Modified: pkg/man/inference.change.boot.Rd
===================================================================
--- pkg/man/inference.change.boot.Rd 2013-04-03 18:59:19 UTC (rev 48)
+++ pkg/man/inference.change.boot.Rd 2013-04-04 06:49:50 UTC (rev 49)
@@ -31,22 +31,9 @@
\value{It returns a list containing the mean,and the confidence intervals for the change in Ecar.}
\examples{
-## The function is currently defined as
-function (z.e, t1, t2, operator = "ratio", conf = 0.95)
-{
- stopifnot(operator \%in\% c("ratio", "difference"))
- tmp <- t(as.matrix(z.e[, c(t1, t2)]))
- if (operator == "ratio") {
- change <- tmp[, 2]/tmp[, 1]
- }
- if (operator == "difference") {
- change <- tmp[, 2] - tmp[, 1]
- }
- mymean <- function(x, d) {
- mean(x[d], na.rm = TRUE)
- }
- b <- boot(change, mymean, R = 1000)
- ci <- boot.ci(b, type = "bca", conf = conf)
- list(est = b$t0, lo = ci$bca[1, 4], hi = ci$bca[1, 5])
- }
+data(eventDays)
+data(eventstudyData)
+es.results <- phys2eventtime(z=eventstudyData, events=eventDays,width=5)
+es.w <- window(es.results$z.e, start=-5, end=+5)
+eventtime <- remap.cumsum(es.w, is.pc=FALSE, base=0)
}
Modified: pkg/man/phys2eventtime.Rd
===================================================================
--- pkg/man/phys2eventtime.Rd 2013-04-03 18:59:19 UTC (rev 48)
+++ pkg/man/phys2eventtime.Rd 2013-04-04 06:49:50 UTC (rev 49)
@@ -25,7 +25,6 @@
\value{Returns a list containing 1. A zoo object indexed with event time, and having "enough data points" and 2. a vector which describes the status of each unit in the original data ( this maybe more than the no of units in 1 ).}
-\author{Ajay Shah, Vimal Balasubramaniam}
\examples{
data(eventDays)
Modified: pkg/man/remap.cumprod.Rd
===================================================================
--- pkg/man/remap.cumprod.Rd 2013-04-03 18:59:19 UTC (rev 48)
+++ pkg/man/remap.cumprod.Rd 2013-04-04 06:49:50 UTC (rev 49)
@@ -19,22 +19,16 @@
\value{The frame returned has each column replaced by base * the cumulative product of the column.}
+\seealso{
+eventDays, eventstudyData, phys2eventtime
+}
\examples{
-## The function is currently defined as
-function (z, is.pc = TRUE, is.returns = TRUE, base = 100)
-{
- for (i in 1:ncol(z)) {
- tmp <- z[, i]
- if (is.returns) {
- if (is.pc) {
- tmp <- tmp/100
- }
- tmp <- 1 + tmp
- }
- tmp[1] <- base
- z[, i] <- cumprod(tmp)
- }
- }
+data(eventDays)
+data(eventstudyData)
+es.results <- phys2eventtime(z=eventstudyData, events=eventDays,width=5)
+es.w <- window(es.results$z.e, start=-5, end=+5)
+eventtime <- remap.cumprod(es.w, is.pc=FALSE, is.returns=TRUE, base=0)
+eventtime
}
Modified: pkg/man/remap.cumsum.Rd
===================================================================
--- pkg/man/remap.cumsum.Rd 2013-04-03 18:59:19 UTC (rev 48)
+++ pkg/man/remap.cumsum.Rd 2013-04-04 06:49:50 UTC (rev 49)
@@ -24,24 +24,13 @@
The frame returned has each column replaced by the cumulative sum of the column.
}
\seealso{
-phys2eventtime
+eventDays, eventstudyData, phys2eventtime
}
\examples{
-##---- Should be DIRECTLY executable !! ----
-##-- ==> Define data, use random,
-##-- or do help(data=index) for the standard data sets.
-
-## The function is currently defined as
-function (z, is.pc = TRUE, base = 0)
-{
- for (i in 1:ncol(z)) {
- tmp <- z[, i]
- if (is.pc) {
- tmp <- tmp/100
- }
- z[, i] <- base + cumsum(tmp)
- }
- z
- }
+data(eventDays)
+data(eventstudyData)
+es.results <- phys2eventtime(z=eventstudyData, events=eventDays,width=5)
+es.w <- window(es.results$z.e, start=-5, end=+5)
+eventtime <- remap.cumsum(es.w, is.pc=FALSE, base=0)
}
Modified: pkg/man/remap.event.reindex.Rd
===================================================================
--- pkg/man/remap.event.reindex.Rd 2013-04-03 18:59:19 UTC (rev 48)
+++ pkg/man/remap.event.reindex.Rd 2013-04-04 06:49:50 UTC (rev 49)
@@ -16,18 +16,13 @@
\value{The function returns a zoo object which has been rescaled.}
-\seealso{phys2eventtime}
-
-
+\seealso{
+eventDays, eventstudyData, phys2eventtime
+}
\examples{
-## The function is currently defined as
-function (z)
-{
- eventvals <- as.numeric(window(z, start = 0, end = 0))
- for (i in 1:ncol(z)) {
- z[, i] <- 100 * z[, i]/eventvals[i]
- }
- z
- }
+data(eventDays)
+data(eventstudyData)
+es.results <- phys2eventtime(z=eventstudyData, events=eventDays,width=5)
+es.w <- window(es.results$z.e, start=-5, end=+5)
+eventtime <- remap.event.reindex(es.w)
}
-
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