# [Eventstudies-commits] r281 - pkg/man

Wed Apr 2 21:18:50 CEST 2014

Author: chiraganand
Date: 2014-04-02 21:18:50 +0200 (Wed, 02 Apr 2014)
New Revision: 281

Modified:
pkg/man/lmAMM.Rd
Log:
Modified text.

Modified: pkg/man/lmAMM.Rd
===================================================================
--- pkg/man/lmAMM.Rd	2014-04-02 18:48:48 UTC (rev 280)
+++ pkg/man/lmAMM.Rd	2014-04-02 19:18:50 UTC (rev 281)
@@ -3,10 +3,8 @@

\title{Augmented market model (AMM) estimation}

-\description{\sQuote{lmAMM} is used to estimate augmented market
-  model. It can be used to estimate AMM and calculate augmented market
-  model residuals (AMM abnormal returns) stripped of market and macro
-  variations.}
+\description{\sQuote{lmAMM} (linear augmented market models) estimates
+  exposure and residuals.}

\usage{
lmAMM(firm.returns, X, nlags = NA, verbose = FALSE)
@@ -14,8 +12,7 @@

\arguments{

-  \item{firm.returns}{a \pkg{zoo} time series object of firm returns for
-    AMM estimation.}
+  \item{firm.returns}{a \pkg{zoo} time series object of firm returns.}

\item{X}{a time series of explanatory variables obtained from the
\sQuote{makeX} function. See \sQuote{Details}.}
@@ -29,6 +26,7 @@

}

+% FIXME: review/rewrite?
\details{
The function relates firm returns to the regressors (market
index movements, currency fluctuations etc.) using the linear model
@@ -39,10 +37,10 @@
Function \sQuote{makeX} is used to prepare the explanatory variables
(\dQuote{X}) used in the estimation of AMM. The first variable of
\dQuote{X} is always the stock market index. Other variables could be
-  currency, bond returns, or other variables as required.
+  currency, bond returns, or any macro-economic indicator for example.

-  If \dQuote{nlags} is \sQuote{NA} (default), then the function tries to
-  find the best lag structure using the AIC.
+  If \dQuote{nlags} is \sQuote{NA} (default), then the function finds
+  the best lag structure using the AIC(n).

\sQuote{lmAMM} calls the \code{stats::lm} to do the
OLS. \sQuote{print} function on an object of \sQuote{class}
@@ -51,22 +49,19 @@

\value{The function returns an object of \sQuote{class} \dQuote{amm}.

-  The functions \sQuote{summary} and \sQuote{print} are provided to
-  print a summary of results and print the \sQuote{lm} command,
-  coefficients, and exposures of the analysis. The function
-  \sQuote{plot} is provided to plot the model residuals and firm
-  returns.
+  Function \sQuote{summary} is provided to print a summary of
+  results. \sQuote{print} prints the coefficients and exposures of the
+  analysis. \sQuote{plot} plots the model residuals and firm returns.

-  An object of class \dQuote{amm} is a \sQuote{list} containing
-  the result of \code{stats::lm} function along with the following
-  components:
+  An object of class \dQuote{amm} is a \sQuote{list} containing the
+  output of \code{stats::lm} function which includes \dQuote{residuals},
+  along with the following components:

\item{exposures}{a \sQuote{numeric} containing exposure estimates for
-    the firm j.}
+    the firm.}

\item{s.exposures}{a \sQuote{numeric} containing the HAC adjusted
-    standard error of the exposures estimated for the firm
-    with returns \sQuote{firm.returns}.}
+    standard error of the exposures estimated for the firm.}

\item{nlags}{shows the lag length provided by user.}
}