[Eventstudies-commits] r273 - in pkg: data man vignettes
noreply at r-forge.r-project.org
noreply at r-forge.r-project.org
Tue Apr 1 13:32:13 CEST 2014
Author: chiraganand
Date: 2014-04-01 13:32:12 +0200 (Tue, 01 Apr 2014)
New Revision: 273
Added:
pkg/data/AMMData.rda
pkg/man/AMMData.Rd
Removed:
pkg/data/lmAMMData.rda
pkg/man/lmAMMData.Rd
Modified:
pkg/man/lmAMM.Rd
pkg/man/makeX.Rd
pkg/man/manyfirmssubperiod.lmAMM.Rd
pkg/man/subperiod.lmAMM.Rd
pkg/vignettes/amm.Rnw
Log:
Renamed lmAMMData to AMMData.
Copied: pkg/data/AMMData.rda (from rev 264, pkg/data/lmAMMData.rda)
===================================================================
(Binary files differ)
Deleted: pkg/data/lmAMMData.rda
===================================================================
(Binary files differ)
Copied: pkg/man/AMMData.Rd (from rev 269, pkg/man/lmAMMData.Rd)
===================================================================
--- pkg/man/AMMData.Rd (rev 0)
+++ pkg/man/AMMData.Rd 2014-04-01 11:32:12 UTC (rev 273)
@@ -0,0 +1,20 @@
+\name{AMMData}
+\alias{AMMData}
+
+
+\title{Data containing firm returns, market returns, and currency
+ returns used for AMM estimation}
+
+\description{The data series is a daily time-series zoo object. The sample range for the data is from 2012-02-01 to 2014-01-31. It consists daily time series for firm returns (Infosys and TCS), market returns (Nifty returns) and currency returns (INR/USD). This data is used to demonstrate the AMM estimation.}
+
+\usage{data(AMMData)}
+
+\author{Vikram Bahure}
+
+\examples{
+library(zoo)
+data(AMMData)
+str(AMMData)
+}
+
+\keyword{AMMData}
Modified: pkg/man/lmAMM.Rd
===================================================================
--- pkg/man/lmAMM.Rd 2014-04-01 10:37:11 UTC (rev 272)
+++ pkg/man/lmAMM.Rd 2014-04-01 11:32:12 UTC (rev 273)
@@ -79,11 +79,11 @@
}
\examples{
-data("lmAMMData")
+data("AMMData")
-firm.returns <- lmAMMData[,"Infosys"]
-market.returns <- lmAMMData[,"index.nifty"]
-currency.returns <- lmAMMData[,"currency.inrusd"]
+firm.returns <- AMMData[,"Infosys"]
+market.returns <- AMMData[,"index.nifty"]
+currency.returns <- AMMData[,"currency.inrusd"]
## Creating regressors for AMM estimation using makeX function
X <- makeX(market.returns,
Deleted: pkg/man/lmAMMData.Rd
===================================================================
--- pkg/man/lmAMMData.Rd 2014-04-01 10:37:11 UTC (rev 272)
+++ pkg/man/lmAMMData.Rd 2014-04-01 11:32:12 UTC (rev 273)
@@ -1,20 +0,0 @@
-\name{lmAMMData}
-\alias{lmAMMData}
-
-
-\title{Data containing firm returns, market returns, and currency
- returns used for AMM estimation}
-
-\description{The data series is a daily time-series zoo object. The sample range for the data is from 2012-02-01 to 2014-01-31. It consists daily time series for firm returns (Infosys and TCS), market returns (Nifty returns) and currency returns (INR/USD). This data is used to demonstrate the AMM estimation.}
-
-\usage{data(lmAMMData)}
-
-\author{Vikram Bahure}
-
-\examples{
-library(zoo)
-data(lmAMMData)
-str(lmAMMData)
-}
-
-\keyword{lmAMMData}
Modified: pkg/man/makeX.Rd
===================================================================
--- pkg/man/makeX.Rd 2014-04-01 10:37:11 UTC (rev 272)
+++ pkg/man/makeX.Rd 2014-04-01 11:32:12 UTC (rev 273)
@@ -63,10 +63,10 @@
\author{Ajay Shah, Vimal Balasubramaniam}
\examples{
-data("lmAMMData")
+data("AMMData")
-market.returns <- lmAMMData$index.nifty
-currency.returns <- lmAMMData$currency.inrusd
+market.returns <- AMMData$index.nifty
+currency.returns <- AMMData$currency.inrusd
X <- makeX(market.returns,
others = currency.returns,
Modified: pkg/man/manyfirmssubperiod.lmAMM.Rd
===================================================================
--- pkg/man/manyfirmssubperiod.lmAMM.Rd 2014-04-01 10:37:11 UTC (rev 272)
+++ pkg/man/manyfirmssubperiod.lmAMM.Rd 2014-04-01 11:32:12 UTC (rev 273)
@@ -54,11 +54,11 @@
## Running manyfirmssubperiod.lmAMM() involves as many steps as working
## with onefirmAMM.
-data("lmAMMData")
+data("AMMData")
-firm.returns <- lmAMMData[, c("Infosys","TCS")]
-market.returns <- lmAMMData[, "index.nifty"]
-currency.returns <- lmAMMData[, "currency.inrusd"]
+firm.returns <- AMMData[, c("Infosys","TCS")]
+market.returns <- AMMData[, "index.nifty"]
+currency.returns <- AMMData[, "currency.inrusd"]
## Creating X for AMM estimation using makeX function
X <- makeX(market.returns,
Modified: pkg/man/subperiod.lmAMM.Rd
===================================================================
--- pkg/man/subperiod.lmAMM.Rd 2014-04-01 10:37:11 UTC (rev 272)
+++ pkg/man/subperiod.lmAMM.Rd 2014-04-01 11:32:12 UTC (rev 273)
@@ -52,12 +52,12 @@
\code{\link{manyfirmssubperiod.lmAMM}}}
\examples{
-data("lmAMMData")
+data("AMMData")
## Create RHS before running subperiod.lmAMM()
-firm.returns <- lmAMMData$Infosys
-market.returns <- lmAMMData$index.nifty
-currency.returns <- lmAMMData$currency.inrusd
+firm.returns <- AMMData$Infosys
+market.returns <- AMMData$index.nifty
+currency.returns <- AMMData$currency.inrusd
regressors <- makeX(market.returns,
others = currency.returns,
@@ -77,4 +77,4 @@
"2014-01-20")))
}
-\keyword{subperiod.lmAMM}
\ No newline at end of file
+\keyword{subperiod.lmAMM}
Modified: pkg/vignettes/amm.Rnw
===================================================================
--- pkg/vignettes/amm.Rnw 2014-04-01 10:37:11 UTC (rev 272)
+++ pkg/vignettes/amm.Rnw 2014-04-01 11:32:12 UTC (rev 273)
@@ -78,7 +78,7 @@
Regressors in the AMM equation are market returns and currency
returns, while regressands is firm returns. All the variables should
have balanced panel if not then merge the time series variable to get
-one. \textit{lmAMMData} is an time series object with market returns as
+one. \textit{AMMData} is an time series object with market returns as
\textit{Nifty} and currency returns as \textit{INR/USD}. If
currency exposure is to be estimated for different periods separately
then argument \textit{dates} will be helpful or else \textit{NULL}
@@ -92,10 +92,10 @@
<<>>=
# Create RHS before running subperiod.lmAMM()
library(eventstudies)
-data("lmAMMData")
-nifty <- lmAMMData$index.nifty
-inrusd <- lmAMMData$currency.inrusd
-regressand <- lmAMMData[,c("Infosys","TCS")]
+data("AMMData")
+nifty <- AMMData$index.nifty
+inrusd <- AMMData$currency.inrusd
+regressand <- AMMData[,c("Infosys","TCS")]
regressors <- makeX(nifty, others=inrusd,
switch.to.innov=TRUE, market.returns.purge=TRUE, nlags=1,
dates=as.Date(c("2012-02-01","2013-01-01","2014-01-20")), verbose=FALSE)
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