[Eventstudies-commits] r94 - in pkg: . R data inst/tests man
noreply at r-forge.r-project.org
noreply at r-forge.r-project.org
Tue Jul 16 15:55:56 CEST 2013
Author: chiraganand
Date: 2013-07-16 15:55:56 +0200 (Tue, 16 Jul 2013)
New Revision: 94
Added:
pkg/data/firmExposuresData.rda
pkg/data/mmData.rda
pkg/man/mmData.Rd
pkg/man/y3c3.Rd
Removed:
pkg/data/firmExposures.rda
pkg/data/marketmodelData.rda
pkg/man/ammData.Rd
Modified:
pkg/DESCRIPTION
pkg/NAMESPACE
pkg/R/AMM.R
pkg/R/eventstudy.R
pkg/inst/tests/test_AMM.R
pkg/man/AMM.Rd
pkg/man/excessReturn.Rd
pkg/man/firmExposures.Rd
pkg/man/firmExposuresData.Rd
pkg/man/makeX.Rd
pkg/man/manyfirmsAMM.Rd
pkg/man/marketResidual.Rd
pkg/man/onefirmAMM.Rd
Log:
Lots of changes, R CMD checks passing now.
Modified: pkg/DESCRIPTION
===================================================================
--- pkg/DESCRIPTION 2013-07-16 11:20:57 UTC (rev 93)
+++ pkg/DESCRIPTION 2013-07-16 13:55:56 UTC (rev 94)
@@ -4,7 +4,7 @@
Version: 1.1
Author: Ajay Shah, Vimal Balasubramaniam, Vikram Bahure
Maintainer: Vikram Bahure <economics.vikram at gmail.com>
-Depends: R (>= 2.12.0), zoo, xts, boot, testthat
+Depends: R (>= 2.12.0), zoo, xts, boot, testthat, sandwich
Description: Implementation of short and long term event study methodology
License: GPL-2
LazyLoad: yes
Modified: pkg/NAMESPACE
===================================================================
--- pkg/NAMESPACE 2013-07-16 11:20:57 UTC (rev 93)
+++ pkg/NAMESPACE 2013-07-16 13:55:56 UTC (rev 94)
@@ -1,4 +1,7 @@
export(inference.Ecar, phys2eventtime, remap.cumsum, remap.cumprod, remap.event.reindex, ees, eesPlot)
+export(marketResidual,
+ excessReturn
+ )
export(AMM,
onefirmAMM,
manyfirmsAMM,
Modified: pkg/R/AMM.R
===================================================================
--- pkg/R/AMM.R 2013-07-16 11:20:57 UTC (rev 93)
+++ pkg/R/AMM.R 2013-07-16 13:55:56 UTC (rev 94)
@@ -96,7 +96,7 @@
#######################
# AMM for one firm
#######################
-onefirmAMM <- function(rj,X,nlags=NA,verbose=FALSE,dates=NULL,residual=FALSE){
+onefirmAMM <- function(rj,X,nlags=NA,verbose=FALSE,dates=NULL,residual=TRUE){
exposures <- data.frame(matrix(NA,ncol=ncol(X),nrow=(length(dates)-1)))
colnames(exposures) <- colnames(X)
sds <- exposures
Modified: pkg/R/eventstudy.R
===================================================================
--- pkg/R/eventstudy.R 2013-07-16 11:20:57 UTC (rev 93)
+++ pkg/R/eventstudy.R 2013-07-16 13:55:56 UTC (rev 94)
@@ -1,13 +1,13 @@
eventstudy <- function(inputData = NULL,
eventList,
width = 10,
- type = "marketResiduals",
+ type = "marketResidual",
to.remap = TRUE,
remap = "cumsum",
to.plot = TRUE,
levels = FALSE,
...) {
- # type = "marketResiduals", "excessReturn", "AMM", "None"
+ # type = "marketResidual", "excessReturn", "AMM", "None"
if (type == "None" && !is.null(inputData)) {
outputModel <- inputData
} else {
@@ -24,9 +24,9 @@
outputModel <- AMM(...)
}
- ## marketResiduals
- if (type == "marketResiduals") {
- outputModel <- marketResiduals(...)
+ ## marketResidual
+ if (type == "marketResidual") {
+ outputModel <- marketResidual(...)
}
## excessReturn
Deleted: pkg/data/firmExposures.rda
===================================================================
(Binary files differ)
Copied: pkg/data/firmExposuresData.rda (from rev 86, pkg/data/firmExposures.rda)
===================================================================
(Binary files differ)
Deleted: pkg/data/marketmodelData.rda
===================================================================
(Binary files differ)
Copied: pkg/data/mmData.rda (from rev 86, pkg/data/marketmodelData.rda)
===================================================================
(Binary files differ)
Modified: pkg/inst/tests/test_AMM.R
===================================================================
--- pkg/inst/tests/test_AMM.R 2013-07-16 11:20:57 UTC (rev 93)
+++ pkg/inst/tests/test_AMM.R 2013-07-16 13:55:56 UTC (rev 94)
@@ -1,14 +1,12 @@
context("AMM")
test_that("test.AMM", {
- library(sandwich)
-
- load(system.file("data", "firmExposures.rda", package = "eventstudies"))
+ load(system.file("data", "firmExposuresData.rda", package = "eventstudies"))
- rj <- firmExposures$Company_A
- rM1 <- firmExposures$NIFTY_INDEX
- rM2 <- firmExposures$usdinr
- rM3 <- firmExposures$baa
+ rj <- firmExposuresData$Company_A
+ rM1 <- firmExposuresData$NIFTY_INDEX
+ rM2 <- firmExposuresData$usdinr
+ rM3 <- firmExposuresData$baa
cat("\nDoing Testcase P2")
X <- makeX(rM1, others=rM2,
Modified: pkg/man/AMM.Rd
===================================================================
--- pkg/man/AMM.Rd 2013-07-16 11:20:57 UTC (rev 93)
+++ pkg/man/AMM.Rd 2013-07-16 13:55:56 UTC (rev 94)
@@ -7,16 +7,17 @@
}
\usage{
-AMM(amm.type=c("one.firm","manyfirms","firmExposures"), ...)
+AMM(amm.type=NULL, ...)
}
\arguments{
- \item{amm.type}{Type of AMM to be performed: On one firm or many firms or just firm exposure}
-
+ \item{amm.type}{Type of AMM to be performed: On one firm "onefirm" or
+ just firm exposure "firmExposures"}
+ \item{...}{Accepts specific arguments for the model.}
}
-\value{ The function returns the exposures, HAC adjusted standard
+\value{The function returns the exposures, HAC adjusted standard
errors, the number of lags used, and the residuals from the fitted
- model.
+ model. Default is NULL.
\item{exposures}{This contains the exposure estimates for the firm
j}
@@ -37,7 +38,7 @@
\examples{
# Create RHS before running AMM()
-data("ammData")
+data("y3c3")
NIFTY_INDEX <- y3c3$NIFTY_INDEX
INRUSD <- y3c3$INRUSD
Company_A <- y3c3$Company_A
@@ -53,15 +54,6 @@
"2008-01-05","2009-01-03")),
rM1=NIFTY_INDEX, others=INRUSD,
switch.to.innov=TRUE, rM1purge=TRUE, nlags=1)
-
-# Many firm
-mf<- AMM(amm.type="manyfirm",regressand,
- lags=NA, nlags=NA,
- verbose=TRUE,
- dates= as.Date(c("2005-01-15","2006-01-07","2007-01-06",
- "2008-01-05","2009-01-03")),periodnames=c("P1","P2","P3","P4"),
- rM1=NIFTY_INDEX, others=INRUSD,
- switch.to.innov=TRUE, rM1purge=TRUE)
}
\keyword{AMM}
\ No newline at end of file
Deleted: pkg/man/ammData.Rd
===================================================================
--- pkg/man/ammData.Rd 2013-07-16 11:20:57 UTC (rev 93)
+++ pkg/man/ammData.Rd 2013-07-16 13:55:56 UTC (rev 94)
@@ -1,17 +0,0 @@
-\name{ammData}
-\alias{ammData}
-
-
-\title{Three years and three random companies}
-
-\description{Data for testing and examples in the package}
-
-\usage{data(ammData)}
-
-\examples{
-library(zoo)
-data(ammData)
-str(y3c3)
-}
-
-\keyword{ammData}
\ No newline at end of file
Modified: pkg/man/excessReturn.Rd
===================================================================
--- pkg/man/excessReturn.Rd 2013-07-16 11:20:57 UTC (rev 93)
+++ pkg/man/excessReturn.Rd 2013-07-16 13:55:56 UTC (rev 94)
@@ -15,12 +15,12 @@
\item{market.name}{It is the market (index) column name in the data object}
}
-\value{ Excess market return}
+\value{Excess market return}
\author{Vikram Bahure}
\examples{
-data(marketmodelData)
+data(mmData)
er.result <- excessReturn(firm.name="ranbaxyacp",market.name="nifty",
data.object=mmData)
Modified: pkg/man/firmExposures.Rd
===================================================================
--- pkg/man/firmExposures.Rd 2013-07-16 11:20:57 UTC (rev 93)
+++ pkg/man/firmExposures.Rd 2013-07-16 13:55:56 UTC (rev 94)
@@ -59,10 +59,10 @@
\examples{
# firmExposures
data("firmExposuresData")
-rj <- test$Company_A
-rM1 <- test$NIFTY_INDEX
-rM2 <- test$usdinr
-rM3 <- test$baa
+rj <- firmExposuresData$Company_A
+rM1 <- firmExposuresData$NIFTY_INDEX
+rM2 <- firmExposuresData$usdinr
+rM3 <- firmExposuresData$baa
X <- makeX(rM1, others=rM2,
switch.to.innov=FALSE, rM1purge=FALSE, verbose=FALSE)
a <- firmExposures(rj, X, nlags=0, verbose=FALSE)
Modified: pkg/man/firmExposuresData.Rd
===================================================================
--- pkg/man/firmExposuresData.Rd 2013-07-16 11:20:57 UTC (rev 93)
+++ pkg/man/firmExposuresData.Rd 2013-07-16 13:55:56 UTC (rev 94)
@@ -13,7 +13,7 @@
\examples{
library(zoo)
data(firmExposuresData)
-str(test)
+str(firmExposuresData)
}
\keyword{firmExposuresData}
\ No newline at end of file
Modified: pkg/man/makeX.Rd
===================================================================
--- pkg/man/makeX.Rd 2013-07-16 11:20:57 UTC (rev 93)
+++ pkg/man/makeX.Rd 2013-07-16 13:55:56 UTC (rev 94)
@@ -11,7 +11,7 @@
}
\usage{
-makeX(rM1, others, switch.to.innov = rep(TRUE, NCOL(others)), rM1purge = TRUE, nlags = 5, dates = NULL, verbose = TRUE)
+makeX(rM1, others, switch.to.innov = rep(TRUE, NCOL(others)), rM1purge = TRUE, nlags = 5, dates = NULL, verbose = FALSE)
}
\arguments{
@@ -61,18 +61,15 @@
\author{Ajay Shah, Vimal Balasubramaniam}
-\seealso{ \code{\link{do.one.piece}}}
-
\examples{
# makeX
data("firmExposuresData")
-rj <- test$Company_A
-rM1 <- test$NIFTY_INDEX
-rM2 <- test$usdinr
-rM3 <- test$baa
+rj <- firmExposuresData$Company_A
+rM1 <- firmExposuresData$NIFTY_INDEX
+rM2 <- firmExposuresData$usdinr
+rM3 <- firmExposuresData$baa
X <- makeX(rM1, others=rM2,
switch.to.innov=FALSE, rM1purge=FALSE, verbose=FALSE)
}
\keyword{makeX}
-\keyword{do.one.piece}
\ No newline at end of file
Modified: pkg/man/manyfirmsAMM.Rd
===================================================================
--- pkg/man/manyfirmsAMM.Rd 2013-07-16 11:20:57 UTC (rev 93)
+++ pkg/man/manyfirmsAMM.Rd 2013-07-16 13:55:56 UTC (rev 94)
@@ -43,7 +43,7 @@
\examples{
# Running manyfirmsAMM() involves as many steps as working with onefirmAMM.
-data("ammData",package="amm")
+data("y3c3", package="eventstudies")
NIFTY_INDEX <- y3c3$NIFTY_INDEX
INRUSD <- y3c3$INRUSD
Company_A <- y3c3$Company_A
Modified: pkg/man/marketResidual.Rd
===================================================================
--- pkg/man/marketResidual.Rd 2013-07-16 11:20:57 UTC (rev 93)
+++ pkg/man/marketResidual.Rd 2013-07-16 13:55:56 UTC (rev 94)
@@ -22,7 +22,7 @@
\author{Vikram Bahure}
\examples{
-data(marketmodelData)
+data(mmData)
# Forumla for market model
mm.formula <- paste("ranbaxyacp","~","nifty","+","drug",sep="")
# Extracting market residual
Added: pkg/man/mmData.Rd
===================================================================
--- pkg/man/mmData.Rd (rev 0)
+++ pkg/man/mmData.Rd 2013-07-16 13:55:56 UTC (rev 94)
@@ -0,0 +1,19 @@
+\name{mmData}
+\alias{mmData}
+
+
+\title{Data for testing the market model and examples therein}
+
+\description{This is a zoo data that is used for testing purposes}
+
+\usage{data(mmData)}
+
+\author{Vikram Bahure}
+
+\examples{
+library(zoo)
+data(mmData)
+str(mmData)
+}
+
+\keyword{mmData}
\ No newline at end of file
Modified: pkg/man/onefirmAMM.Rd
===================================================================
--- pkg/man/onefirmAMM.Rd 2013-07-16 11:20:57 UTC (rev 93)
+++ pkg/man/onefirmAMM.Rd 2013-07-16 13:55:56 UTC (rev 94)
@@ -10,7 +10,7 @@
}
\usage{
-onefirmAMM(rj, X, nlags = NA, verbose = FALSE, dates)
+onefirmAMM(rj, X, nlags = NA, verbose = FALSE, dates = NULL, residual = TRUE)
}
\arguments{
@@ -29,7 +29,9 @@
}
\item{dates}{Default is NULL. If no dates are mentioned, onefirmAMM does
what firmExposures() would do, i.e., estimate exposures for the full time period.
- }
+ }
+ \item{residual}{Returns AMM Residuals if TRUE, AMM exposure
+ otherwise. Defaults to TRUE.}
}
\value{ The function returns the exposures, HAC adjusted standard
errors, the number of lags used, and the residuals from the fitted
@@ -42,7 +44,7 @@
\examples{
# Create RHS before running onefirmAMM()
-data("ammData")
+data("y3c3")
NIFTY_INDEX <- y3c3$NIFTY_INDEX
INRUSD <- y3c3$INRUSD
Company_A <- y3c3$Company_A
Copied: pkg/man/y3c3.Rd (from rev 86, pkg/man/ammData.Rd)
===================================================================
--- pkg/man/y3c3.Rd (rev 0)
+++ pkg/man/y3c3.Rd 2013-07-16 13:55:56 UTC (rev 94)
@@ -0,0 +1,17 @@
+\name{y3c3}
+\alias{y3c3}
+
+
+\title{Three years and three random companies}
+
+\description{Data for testing and examples in the package}
+
+\usage{data(y3c3)}
+
+\examples{
+library(zoo)
+data(y3c3)
+str(y3c3)
+}
+
+\keyword{y3c3}
\ No newline at end of file
More information about the Eventstudies-commits
mailing list