From noreply at r-forge.r-project.org Fri Sep 13 07:41:56 2013 From: noreply at r-forge.r-project.org (noreply at r-forge.r-project.org) Date: Fri, 13 Sep 2013 07:41:56 +0200 (CEST) Subject: [Eventstudies-commits] r142 - in pkg: R vignettes Message-ID: <20130913054156.C323D185DF3@r-forge.r-project.org> Author: vikram Date: 2013-09-13 07:41:56 +0200 (Fri, 13 Sep 2013) New Revision: 142 Modified: pkg/R/AMM.R pkg/vignettes/eventstudies.Rnw Log: Fixed the lag problem in AMM function Modified: pkg/R/AMM.R =================================================================== --- pkg/R/AMM.R 2013-08-26 18:55:33 UTC (rev 141) +++ pkg/R/AMM.R 2013-09-13 05:41:56 UTC (rev 142) @@ -31,7 +31,7 @@ # Checking remaining arguments if (match("nlags", names(modelArgs), nomatch = -1) == -1) { - nlags <- 1 + nlags <- 0 } else { nlags <- modelArgs$nlags } @@ -95,7 +95,7 @@ colnames(result) <- cn.names } - index(result) <- as.Date(index(result)) + ## index(result) <- as.Date(index(result)) return(result) } @@ -221,7 +221,7 @@ } ############################################### -# Estimating one firm's exposure in one period. +## Estimating one firm's exposure in one period. ############################################### firmExposures <- function(firm.returns, X, nlags=NA, verbose=FALSE) { do.ols <- function(nlags) { Modified: pkg/vignettes/eventstudies.Rnw =================================================================== --- pkg/vignettes/eventstudies.Rnw 2013-08-26 18:55:33 UTC (rev 141) +++ pkg/vignettes/eventstudies.Rnw 2013-09-13 05:41:56 UTC (rev 142) @@ -264,7 +264,7 @@ amm.residual <- AMM(firm.returns=StockPriceReturns[,1:3], verbose=FALSE, market.returns=nifty.index, others=inrusd, switch.to.innov=TRUE, - market.returns.purge=TRUE, nlags=0) + market.returns.purge=TRUE, nlags=1) @ From noreply at r-forge.r-project.org Tue Sep 17 08:11:23 2013 From: noreply at r-forge.r-project.org (noreply at r-forge.r-project.org) Date: Tue, 17 Sep 2013 08:11:23 +0200 (CEST) Subject: [Eventstudies-commits] r143 - pkg/vignettes Message-ID: <20130917061123.CCE3C185FF7@r-forge.r-project.org> Author: vikram Date: 2013-09-17 08:11:23 +0200 (Tue, 17 Sep 2013) New Revision: 143 Modified: pkg/vignettes/eventstudies.Rnw Log: Minor correction in vignette Modified: pkg/vignettes/eventstudies.Rnw =================================================================== --- pkg/vignettes/eventstudies.Rnw 2013-09-13 05:41:56 UTC (rev 142) +++ pkg/vignettes/eventstudies.Rnw 2013-09-17 06:11:23 UTC (rev 143) @@ -341,8 +341,10 @@ \caption{Stock splits event and response of respective stock returns: Bootstrap CI} \setkeys{Gin}{width=0.8\linewidth} - \setkeys{Gin}{height=0.8\linewidth} <>= - result <- inference.bootstrap(es.w=es.cs, to.plot=TRUE) @ + \setkeys{Gin}{height=0.8\linewidth} +<>= +result <- inference.bootstrap(es.w=es.cs, to.plot=TRUE) +@ \end{center} \label{fig:one} \end{figure} @@ -358,8 +360,10 @@ \caption{Stock splits event and response of respective stock returns: Wilcoxon CI} \setkeys{Gin}{width=0.8\linewidth} - \setkeys{Gin}{height=0.8\linewidth} <>= - result <- inference.wilcox(es.w=es.cs, to.plot=TRUE) @ + \setkeys{Gin}{height=0.8\linewidth} +<>= +result <- inference.wilcox(es.w=es.cs, to.plot=TRUE) +@ \end{center} \label{fig:two} \end{figure} From noreply at r-forge.r-project.org Tue Sep 17 08:52:36 2013 From: noreply at r-forge.r-project.org (noreply at r-forge.r-project.org) Date: Tue, 17 Sep 2013 08:52:36 +0200 (CEST) Subject: [Eventstudies-commits] r144 - pkg Message-ID: <20130917065236.B6A8618469D@r-forge.r-project.org> Author: chiraganand Date: 2013-09-17 08:52:36 +0200 (Tue, 17 Sep 2013) New Revision: 144 Added: pkg/CHANGELOG Log: Added ChangeLog file, needs to be updated. Added: pkg/CHANGELOG =================================================================== --- pkg/CHANGELOG (rev 0) +++ pkg/CHANGELOG 2013-09-17 06:52:36 UTC (rev 144) @@ -0,0 +1,10 @@ +ChangeLog +=========== +- 1.2 (released XXX): + * eventstudy: added one main function to do eventstudy + * Models: Added market model to handle excess return and market residuals + * AMM: added Augmented Market Model functions + * phys2eventtime: modified phys2eventtime function + * bootstrap: added inference wilcox and inference bootstrap methods + * Tests: added unit tests to test the models + * Documentation: updated vignette and manuals, made them more descriptive From noreply at r-forge.r-project.org Tue Sep 17 10:39:50 2013 From: noreply at r-forge.r-project.org (noreply at r-forge.r-project.org) Date: Tue, 17 Sep 2013 10:39:50 +0200 (CEST) Subject: [Eventstudies-commits] r145 - in pkg: man vignettes Message-ID: <20130917083950.EA2DE18441C@r-forge.r-project.org> Author: vikram Date: 2013-09-17 10:39:50 +0200 (Tue, 17 Sep 2013) New Revision: 145 Modified: pkg/man/eesPlot.Rd pkg/vignettes/es.bib Log: Added reference to extreme event paper (PSS 2013) Modified: pkg/man/eesPlot.Rd =================================================================== --- pkg/man/eesPlot.Rd 2013-09-17 06:52:36 UTC (rev 144) +++ pkg/man/eesPlot.Rd 2013-09-17 08:39:50 UTC (rev 145) @@ -6,7 +6,7 @@ } \description{ -This function creates an event study plot that treats all clustered events as one event. It plots both the lower and upper tail events and the events are defined based on the cut off probability values provided (in percentage terms).} +This function replicates result of Patnaik, Shah and Singh (2013). The function creates an event study plot that treats all clustered events as one event. It plots both the lower and upper tail events and the events are defined based on the cut off probability values provided (in percentage terms).} \usage{ Modified: pkg/vignettes/es.bib =================================================================== --- pkg/vignettes/es.bib 2013-09-17 06:52:36 UTC (rev 144) +++ pkg/vignettes/es.bib 2013-09-17 08:39:50 UTC (rev 145) @@ -15,3 +15,11 @@ volume = 51, pages = {207-234}} + at Article{, + author = {PatnaikShahSingh2013}, + title = {Foreign Investors Under Stress: Evidence from India }, + journal = {IMF Working Paper}, + year = 2013 +} + + From ajayshah at mayin.org Wed Sep 18 06:02:10 2013 From: ajayshah at mayin.org (Ajay Shah) Date: Wed, 18 Sep 2013 09:32:10 +0530 Subject: [Eventstudies-commits] r145 - in pkg: man vignettes In-Reply-To: <20130917083950.EA2DE18441C@r-forge.r-project.org> References: <20130917083950.EA2DE18441C@r-forge.r-project.org> Message-ID: Please fix grammatical errors. On 17 September 2013 14:09, wrote: > Author: vikram > Date: 2013-09-17 10:39:50 +0200 (Tue, 17 Sep 2013) > New Revision: 145 > > Modified: > pkg/man/eesPlot.Rd > pkg/vignettes/es.bib > Log: > Added reference to extreme event paper (PSS 2013) > > Modified: pkg/man/eesPlot.Rd > =================================================================== > --- pkg/man/eesPlot.Rd 2013-09-17 06:52:36 UTC (rev 144) > +++ pkg/man/eesPlot.Rd 2013-09-17 08:39:50 UTC (rev 145) > @@ -6,7 +6,7 @@ > } > > \description{ > -This function creates an event study plot that treats all clustered > events as one event. It plots both the lower and upper tail events and the > events are defined based on the cut off probability values provided (in > percentage terms).} > +This function replicates result of Patnaik, Shah and Singh (2013). The > function creates an event study plot that treats all clustered events as > one event. It plots both the lower and upper tail events and the events are > defined based on the cut off probability values provided (in percentage > terms).} > > > \usage{ > > Modified: pkg/vignettes/es.bib > =================================================================== > --- pkg/vignettes/es.bib 2013-09-17 06:52:36 UTC (rev 144) > +++ pkg/vignettes/es.bib 2013-09-17 08:39:50 UTC (rev 145) > @@ -15,3 +15,11 @@ > volume = 51, > pages = {207-234}} > > + at Article{, > + author = {PatnaikShahSingh2013}, > + title = {Foreign Investors Under Stress: Evidence from India }, > + journal = {IMF Working Paper}, > + year = 2013 > +} > + > + > > _______________________________________________ > Eventstudies-commits mailing list > Eventstudies-commits at lists.r-forge.r-project.org > > https://lists.r-forge.r-project.org/cgi-bin/mailman/listinfo/eventstudies-commits > -- Ajay Shah ajayshah at mayin.org http://www.mayin.org/ajayshah http://ajayshahblog.blogspot.com -------------- next part -------------- An HTML attachment was scrubbed... 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