[Eventstudies-commits] r156 - in pkg: . vignettes

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

Author: vikram
Date: 2013-11-12 13:04:10 +0100 (Tue, 12 Nov 2013)
New Revision: 156

Modified:
   pkg/DESCRIPTION
   pkg/vignettes/eventstudies.Rnw
Log:
Added AMM vignette to explain Augmented market models and respective code; Modified Description of the package

Modified: pkg/DESCRIPTION
===================================================================
--- pkg/DESCRIPTION	2013-11-09 06:47:01 UTC (rev 155)
+++ pkg/DESCRIPTION	2013-11-12 12:04:10 UTC (rev 156)
@@ -1,10 +1,10 @@
 Package: eventstudies
 Type: Package
-Title: Event study and extreme event analysis
-Version: 1.1
+Title: Event study analysis
+Version: 1.2
 Author: Ajay Shah, Chirag Anand, Vikram Bahure
 Maintainer: Vikram Bahure <economics.vikram at gmail.com>
-Depends: R (>= 2.12.0), zoo, xts, boot, testthat, sandwich, exactRankTests, doMC, foreach
-Description: Implementation of short and long term event study methodology
+Depends: R (>= 2.12.0), zoo, xts, boot, testthat, sandwich, doMC, foreach
+Description: Event study methodology in finance and economics; along with augmented market models (AMMs)
 License: GPL-2
 LazyLoad: yes

Modified: pkg/vignettes/eventstudies.Rnw
===================================================================
--- pkg/vignettes/eventstudies.Rnw	2013-11-09 06:47:01 UTC (rev 155)
+++ pkg/vignettes/eventstudies.Rnw	2013-11-12 12:04:10 UTC (rev 156)
@@ -181,9 +181,22 @@
 
 @
 
-To provide flexibility to users, a general multivariate framework to estimate idiosyncratic returns, the augmented market model, is also available. In this case, we would like to purge any currency returns from the outcome return of interest, and the \textit{a-priori} expectation is that the variance of the residual is reduced in this process. In this case, the \texttt{AMM} model requires a time-series of the exchange rate along with firm returns and market returns. This is done by loading the \textit{inr} data, which is the INR-USD exchange rate for the same period. The complete data set consisting of stock returns, market returns, and exchange rate is first created.
+To provide flexibility to users, a general multivariate framework to
+estimate idiosyncratic returns, the augmented market model, is also
+available. In this case, we would like to purge any currency returns
+from the outcome return of interest, and the \textit{a-priori}
+expectation is that the variance of the residual is reduced in this
+process. In this case, the \texttt{AMM} model requires a time-series
+of the exchange rate along with firm returns and market returns. This
+is done by loading the \textit{inr} data, which is the INR-USD
+exchange rate for the same period. The complete data set consisting of
+stock returns, market returns, and exchange rate is first created. 
 
-Inputs into the \texttt{AMM} model also include \texttt{firm.returns} and \texttt{market.returns}. Currency returns can be specified using \texttt{others}. In a general case, this proves to be a multivariate specification with the flexibility to run auxiliary regressions to specify the regression appropriately. 
+Inputs into the \texttt{AMM} model also include \texttt{firm.returns}
+and \texttt{market.returns}. Currency returns can be specified using
+\texttt{others}. In a general case, this proves to be a multivariate
+specification with the flexibility to run auxiliary regressions to
+specify the regression appropriately.  
 
 % AMM model
 <<>>= 
@@ -338,4 +351,5 @@
 % \newpage
 \bibliographystyle{jss} \bibliography{es}
 
+
 \end{document}