[Eventstudies-commits] r142 - in pkg: R vignettes

[noreply at 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)
 
 @