[Eventstudies-commits] r76 - pkg/R

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

Author: chiraganand
Date: 2013-07-16 07:16:50 +0200 (Tue, 16 Jul 2013)
New Revision: 76

Added:
   pkg/R/eventstudy.R
Log:
Added main wrapper function for eventstudies.


Added: pkg/R/eventstudy.R
===================================================================
--- pkg/R/eventstudy.R	                        (rev 0)
+++ pkg/R/eventstudy.R	2013-07-16 05:16:50 UTC (rev 76)
@@ -0,0 +1,46 @@
+eventstudy <- function(inputData = NULL,
+                       eventList,
+                       width = 10,
+                       type = "marketResiduals",
+                       to.remap = TRUE,
+                       remap = "cumsum",
+                       to.plot = TRUE,
+                       ...) {
+                                        # type = "marketResiduals", "excessReturn", "AMM", "None"
+  if (type == "None" && !is.null(inputData)) {
+    outputModel <- inputData
+  } else {
+    stop("inputData or \"None\" type missing")
+  }
+
+### Run models
+  ## AMM
+  if (type == "AMM") {
+    outputModel <- AMM(...)
+  }
+
+  ## marketResiduals
+  if (type == "marketResiduals") {
+    outputModel <- marketResiduals(...)
+  }
+
+  ## excessReturn
+  if (type == "excessReturn") {
+    outputModel <- excessReturn(...)
+  }
+
+### Convert to event frame
+  es <- phys2eventtime(z=outputModel, events=eventList, width=width)
+  es.w <- window(es$z.e, start = -width, end = width)
+
+### Remapping event frame
+  if (to.remap == TRUE) {
+    es.w <- switch(remap,
+                   cumsum = remap.cumsum(es.w, is.pc = FALSE, base = 0),
+                   cumprod = remap.cumprod(es.w, is.pc = TRUE, is.returns = TRUE, base = 100),
+                   reindex = remap.event.reindex(es.w)
+                   )
+  }
+
+### Bootstrap
+  result <- inference.Ecar(z.e = es.w, to.plot = to.plot)