[Eventstudies-commits] r284 - pkg/man
noreply at r-forge.r-project.org
noreply at r-forge.r-project.org
Thu Apr 3 17:20:27 CEST 2014
Author: chiraganand
Date: 2014-04-03 17:20:27 +0200 (Thu, 03 Apr 2014)
New Revision: 284
Modified:
pkg/man/ees.Rd
pkg/man/eesPlot.Rd
pkg/man/eventstudy.Rd
pkg/man/excessReturn.Rd
pkg/man/lmAMM.Rd
pkg/man/manyfirmssubperiod.lmAMM.Rd
pkg/man/marketResidual.Rd
pkg/man/remap.cumprod.Rd
pkg/man/remap.cumsum.Rd
pkg/man/remap.event.reindex.Rd
pkg/man/subperiod.lmAMM.Rd
Log:
Content and formatting improved.
Modified: pkg/man/ees.Rd
===================================================================
--- pkg/man/ees.Rd 2014-04-03 15:19:51 UTC (rev 283)
+++ pkg/man/ees.Rd 2014-04-03 15:20:27 UTC (rev 284)
@@ -14,48 +14,86 @@
\arguments{
- \item{input}{a univariate \pkg{zoo} or \pkg{xts} time series for which
- tail events identification is required.}
-
- \item{prob.value}{The cut off (in per cent) on the probability
- distribution for the tail event.}
+ \item{input}{a univariate \pkg{zoo} or \pkg{xts} time series object}
+
+ \item{prob.value}{The value (in percent) on the probability
+ distribution to define a tail event.}
}
-\details{ Patnaik, Shah and Singh (2013) uses modified event study methodology in the paper, which is used to understand the impact of extreme tail events on a given variable (foreign investment, stock market returns in this case). Event dates are defined as those on which extreme values of returns or flows are observed. The argument \sQuote{prob.value} defines the extreme tail values on both side of the distribution as event dates. For instance, if \sQuote{prob.value} is 2.5 then it will consider 2.5 percent tail values on both side of the empirical distribution of the variable as event dates. The paper further differentiates between clustered events (consecutive extreme events) and unclustered events which is described in detail in summary tables.
-This function helps to understand the various feature of the event dates by providing following summary statistics:
- \itemize{
- \item \dQuote{Distribution of extreme events}: Number of events in clustered, unclustered and events used and discarded from the analysis
- \item \dQuote{Run length distribution}: Table shows number of clustered events with a particular run length
- \item \dQuote{Quantile values}: Quantile wise distribution of extreme events
- \item \dQuote{Yearly distribution}: Year wise distribution of extreme events
- }
- Please refer to Patnaik, Shah and Singh (2013) for more detailed explanation.
+\details{
+ Tail (Rare) events are often the object of interest in finance. These
+ events are defined as those that have a low probability of
+ occurrence. This function identifies such events based on
+ \sQuote{prob.value} mentioned by the user and generates summary
+ statistics about the events. If \sQuote{prob.value} is 2.5\%, events
+ below 2.5\% (lower tail) and above 97.5\% (upper tail) of the
+ distribution are identified as extreme events.
+
+ Following statistics is generated for both lower and upper tail
+ events:
+
+ \itemize{
+ \item \sQuote{extreme.event.distribution} provides summary
+ statistics on the number of consecutive events (\dQuote{clustered}
+ events) and those that are not (\dQuote{unclustered}
+ events). Consecutive events that are \dQuote{mixed}, i.e., with
+ upper (lower) tail event occurring after a lower (upper) tail event,
+ are classified separately.
+
+ \item \sQuote{runlength}: When events are \dQuote{clustered},
+ \sQuote{runlength} classifies such clusters into different duration
+ bins.
+
+ \item \sQuote{quantile.values}: Within such events,
+ \sQuote{quantile.values} provide the probability distribution values
+ at 0\%, 25\%, 50\%, 75\% and 100\%, alongside the mean.
+
+ \item \sQuote{yearly.extreme.event}: A year-wise tabulation of such
+ extreme events, with a clustered event taken as one event.
+ }
}
\value{ A \code{list} object containing:
\item{data.summary}{a \sQuote{data.frame} containing summary of
- the data set.}
+ the data set minimum, maximum, inter-quartile range, mean, median,
+ standard deviation and quantile values at 5\%, 25\%, 75\% and 95\%.}
- \item{lower.tail}{a \sQuote{list} containing: distribution of extreme
- events, run length distribution, quantile values, yearly
- distribution, and the tail events data.}
+ \item{lower.tail}{a \sQuote{list} that contains
+ \sQuote{extreme.event.distribution}, \sQuote{runlength},
+ \sQuote{quantile.values} and \sQuote{yearly.extreme.event} for the
+ events on the lower tail of the distribution. See
+ \sQuote{Details}.}
- \item{upper.tail}{a \sQuote{list} containing: distribution of extreme
- events, run length distribution, quantile values, yearly
- distribution, and the tail events data.}
+ \item{upper.tail}{a \sQuote{list} that contains
+ \sQuote{extreme.event.distribution}, \sQuote{runlength},
+ \sQuote{quantile.values} and \sQuote{yearly.extreme.event} for the
+ events on the upper tail of the distribution. See
+ \sQuote{Details}.}
}
-\references{To convert number to words, code uses function
+\references{
+ Ila Patnaik, Nirvikar Singh and Ajay Shah (2013).
+ Foreign Investors under stress: Evidence from
+ India. \emph{International Finance}, \bold{16(2)}, 213-244.
+ URL
+ http://onlinelibrary.wiley.com/doi/10.1111/j.1468-2362.2013.12032.x/abstract
+ and also available at http://macrofinance.nipfp.org.in/releases/PatnaikShahSingh2013_Foreign_Investors.html
+
+ To convert number to words, code uses function
\href{http://finzi.psych.upenn.edu/R/Rhelp02a/archive/46843.html}{\dQuote{numbers2words}}
by \href{http://socserv.mcmaster.ca/jfox/}{John Fox} and
\dQuote{deprintize} function by \href{http://mbq.me/}{Miron Kursa}.
+
}
\author{Vikram Bahure}
+
+
\examples{
library(eventstudies)
data(EESData)
-input <- EESData$sp500
-output <- ees(input, prob.value = 5)
+input <- EESData$sp500 ## Input S&P 500 as the univariate series
+output <- ees(input, prob.value = 5) ## Estimate 5\% tails.
+str(output)
}
Modified: pkg/man/eesPlot.Rd
===================================================================
--- pkg/man/eesPlot.Rd 2014-04-03 15:19:51 UTC (rev 283)
+++ pkg/man/eesPlot.Rd 2014-04-03 15:20:27 UTC (rev 284)
@@ -1,11 +1,10 @@
\name{eesPlot}
\alias{eesPlot}
-\title{
-Extreme event study analysis: Plotting clustered and unclustered extreme events returns
-}
+\title{Plotting clustered and unclustered extreme events}
-\description{ This function uses modified event study methodology from Patnaik, Shah and Singh (2013) to plot the impact of event series on the response series.
+\description{ This function plots an event study with extreme events
+ as identified by the function \sQuote{ees}.
}
\usage{
@@ -20,35 +19,53 @@
\arguments{
- \item{z}{Data object with both response and event series on which
- event study is to be performed.}
+ \item{z}{a time series object with the response and event series.}
- \item{response.series.name}{Column name of the series in \sQuote{z} on which
- response is to be observed.}
+ \item{response.series.name}{Column name of the series in \sQuote{z}
+ that will be the \sQuote{outcome} or \sQuote{response} series.}
- \item{event.series.name}{Column name of the series in \sQuote{z} on which
- event is to be defined.}
+ \item{event.series.name}{Column name of the series in \sQuote{z} that
+ will be the \sQuote{event} series.}
- \item{titlestring}{Title for event study plot.}
+ \item{titlestring}{Title for event study plot}
- \item{ylab}{Y-axis label of the plot.}
+ \item{ylab}{Y-axis label of the plot}
- \item{width}{Width for event study plot.}
+ \item{width}{Time window before and after the event to be plotted}
\item{prob.value}{Cut-off values in the probability distribution (in
- percentage terms).}
+ percentage terms) to identify extreme events.}
}
-\details{Patnaik, Shah, and Singh (2013) use modified event study methodology to draw the event study plot. The function draws the event dates from the tail of the event series. Extreme events are then formatted by fusing the consecutive events on same side of the tail into one event, further fusing the response series on a clustered event and removing the mixed clusters (consecutive events from left and right tails). After formatting the events, response series is converted to event time frame and mean response is constructed for all event dates. The function also estimates confidence interval using bootstrap inference strategy.
+\details{
+ This function draws from many different functions in the package:
+ \itemize{
+ \item Identify extreme events based on \sQuote{prob.value} on the
+ series named \sQuote{event.series.name} in \sQuote{z}, similar to
+ the function \code{ees};
+
+ \item Treats clusters in the events identified as one event by
+ cumulating the series named \sQuote{response.series.name} in
+ \sQuote{z} for the period in the cluster;
-The paper defines extreme tail events as event dates and the argument \sQuote{prob.value} is used for the same. The function using the argument \sQuote{event.series.name} picks a column from the data object \sQuote{z}, which is used to extract extreme event dates. While, argument \sQuote{response.series.name} gets the response series on which impact of the extreme event dates is to be analysed.
+ \item Obtains confidence intervals using \code{inference.bootstrap}
+ and the presents the anaylsis in a graph.
+ }
-Please refer to the paper Patnaik, Shah and Singh (2013) for detailed explanation.
}
\value{A plot of the response series with lower and upper tail events
defined on the event series.}
+\references{
+ Ila Patnaik, Nirvikar Singh and Ajay Shah (2013).
+ Foreign Investors under stress: Evidence from
+ India. \emph{International Finance}, \bold{16(2)}, 213-244.
+ URL
+ http://onlinelibrary.wiley.com/doi/10.1111/j.1468-2362.2013.12032.x/abstract
+ and also available at http://macrofinance.nipfp.org.in/releases/PatnaikShahSingh2013_Foreign_Investors.html
+}
+
\examples{
library(eventstudies)
data(EESData)
Modified: pkg/man/eventstudy.Rd
===================================================================
--- pkg/man/eventstudy.Rd 2014-04-03 15:19:51 UTC (rev 283)
+++ pkg/man/eventstudy.Rd 2014-04-03 15:20:27 UTC (rev 284)
@@ -1,13 +1,14 @@
\name{eventstudy}
\alias{eventstudy}
-\title{Function for performing event study analysis}
+\title{Event study analysis}
\description{
- %% FIXME
- \sQuote{eventstudy} performs event study analysis. It calculates
- returns using a specified model, converts physical dates to event
- frame, and conducts inference on the unit of interest.
+ \sQuote{eventstudy} provides a easy interface that integrates all
+ functionalities of package \pkg{eventstudies} to undertake event study
+ analysis. It allows the user to specify the type of data adjustment
+ to be done (using the augmented market model functionalities of the
+ package) and then an inference strategy of choice.
}
\usage{
@@ -25,60 +26,68 @@
\arguments{
\item{firm.returns}{
- a \pkg{zoo} timeseries on which event study is to be performed.
+ a \pkg{zoo} matrix of \sQuote{outcome} or \sQuote{response} series.
}
\item{eventList}{
- \sQuote{data.frame} of two columns containing event dates to pass to
- \code{\link{phys2eventtime}} function. \dQuote{outcome.unit}
- consists of column names of series inside \dQuote{firm.returns}, and
- \dQuote{event.when} is the respective event date.
+ a \code{data.frame} of two columns with event dates (with the column
+ name \dQuote{event.when}) and column names
+ of the \sQuote{response} series from \sQuote{firm.returns} (with the
+ column name \dQuote{outcome.unit}.
}
- \item{width}{integer of length 1, creates an event window to
- study the impact (pre and post event) on the variable.}
+ \item{width}{an \sQuote{integer} of length 1 that specifies a
+ symmetric event window around the event date.
+ }
\item{type}{
- a scalar of type \sQuote{character} specifying the market
- model adjustment. See \sQuote{Details}.
+ a scalar of type \sQuote{character} specifying the type of data
+ adjustment required before conducting an event study analysis. See
+ \sQuote{Details}.
}
- \item{to.remap}{\sQuote{logical}, indicating whether to convert
- event-window returns into cumulative sum, cumulative product, or
- re-index.}
+ \item{to.remap}{\sQuote{logical}, indicating whether or not to remap
+ the data in \sQuote{firm.returns}.
+ }
\item{remap}{
- \sQuote{character}, conversion function for remapping event-window
- returns. Used when \dQuote{to.remap} is \sQuote{TRUE}.
- }
+ \sQuote{character}, indicating the type of remap required,
+ \dQuote{cumsum}, \dQuote{cumprod}, or \dQuote{reindex}. Used when
+ \sQuote{to.remap} is \sQuote{TRUE}.
+ }
\item{is.levels}{
- \sQuote{logical}, indicating the format of the data. Set it to
- \sQuote{FALSE} if the data is in returns format, else \sQuote{TRUE}.
+ \sQuote{logical}, indicating whether data in \sQuote{firm.returns}
+ needs to be converted into percentage returns. If
+ \sQuote{TRUE}, \sQuote{firm.returns} will be converted into
+ percentage returns.
}
- %% FIXME: do you compute confidence interval or use it for computing?
+
\item{inference}{
- \sQuote{logical}, specifying whether to compute confidence interval
- for the estimator.
+ \sQuote{logical}, specifying whether to undertake statistical
+ inference and compute confidence intervals. The default setting is
+ \sQuote{TRUE}.
}
\item{inference.strategy}{a \sQuote{character} scalar specifying the
- inference strategy to compute confidence intervals. Is used only if
- \dQuote{inference} is \sQuote{TRUE}. Currently supported options are
- \dQuote{bootstrap} and \dQuote{wilcox}. Defaults to \dQuote{bootstrap}.}
-
+ inference strategy to be used for estimating the confidence
+ interval. Presently, two methods are available: \dQuote{bootstrap}
+ and \dQuote{wilcox}.
+ }
+
\item{...}{
- further arguments to pass to the model.
+ All other arguments to be passed depends on whether \sQuote{type}
+ is \dQuote{marketResidual}, \dQuote{excessReturn}, or
+ \dQuote{lmAMM}. When \dQuote{None}, no additional arguments will be
+ needed. See \sQuote{Details}.
}
}
\details{
+ \dQuote{firm.returns} can contain only one series. To study a single
+ series, use \sQuote{[} with \code{drop = FALSE} for subsetting the
+ data set. See \code{\link{phys2eventtime}} for more details.
- \dQuote{firm.returns} may contain only one series. For performing
- analysis for a single series, use \sQuote{[} with \code{drop =
- FALSE} for subsetting the data set. See \code{\link{phys2eventtime}}
- for more details.
-
\dQuote{type} currently supports:
\itemize{
\item{\dQuote{marketResidual}: uses \code{\link{marketResidual}}
@@ -91,8 +100,9 @@
\item{\dQuote{lmAMM}: uses \code{\link{lmAMM}} to perform
Augmented Market Model estimation.}
- \item{\dQuote{None}: don't use any model.}
+ \item{\dQuote{None}: does not use any model.}
}
+
Arguments to a model type can be sent inside \sQuote{...}. See
\sQuote{Model arguments} section for details on accepted fields.
@@ -100,9 +110,9 @@
\itemize{
\item \dQuote{cumsum}: cumulative sum, uses \code{\link{remap.cumsum}}. [Default]
\item \dQuote{cumprod}: cumulative product, buy-hold-abnormal-return (BHAR),
- uses \code{\link{remap.cumprod}}.
+ uses \code{\link{remap.cumprod}}.
\item \dQuote{reindex}: re-indexes the event window by using
- \code{\link{remap.event.reindex}}.
+ \code{\link{remap.event.reindex}}.
}
For computing confidence intervals, the function can either use
@@ -113,13 +123,16 @@
\sQuote{...} is directly supplied to the model mentioned in the
\dQuote{type} argument. See section on \sQuote{Model arguments} for
more details.
+
+ The argument \sQuote{width} in \code{\link{phys2eventtime}} has been
+ set to zero.
}
\section{\bold{Model arguments}}{
Each model can take extra arguments (supplied as \sQuote{...}) apart
from mandatory ones for finer control over the analysis. Check the
- respective function documentation for definitions. The arguments are
- listed here:
+ respective function documentation for definitions. The arguments from
+ the relevant functions are listed here:
\itemize{
\item \dQuote{marketResidual}: \cr
@@ -137,24 +150,28 @@
}
}
-
\value{
A list with class attribute \dQuote{es} holding the
following elements:
\item{eventstudy.output}{
- a \sQuote{matrix} containing mean/median estimate with
- confidence interval; \sQuote{NULL} if there are no \dQuote{success}
- \dQuote{outcomes}.
+ a \sQuote{matrix} containing mean (bootstrap) or median (with
+ wilcoxon) estimate with confidence interval; \sQuote{NULL} if there
+ are no \dQuote{success} \dQuote{outcomes}.
}
- \item{outcomes}{a character vector having outcome of each event date:}
-
- \itemize{
- \item{success: shows the successful use of event date.}
- \item{wdatamissing: appears when width data is missing around the event.}
- \item{wrongspan: if event date falls outside the range of physical date.}
- \item{unitmissing: when the unit (firm name) is missing in the event list.}
+ \item{outcomes}{a character vector that is the output from
+ \code{\link{phys2eventtime}} containing details of the successful use
+ of an event:
+
+ \itemize{
+ \item{success: shows the successful use of event date.}
+ \item{wdatamissing: appears when width data is missing around the
+ event. This will not appear when this function is used since the
+ argument \sQuote{width} in \code{\link{phys2eventtime}} is set to zero.}
+ \item{wrongspan: if event date falls outside the range of physical date.}
+ \item{unitmissing: when the unit (firm name) is missing in the event list.}
+ }
}
\item{inference}{
@@ -170,7 +187,6 @@
a \sQuote{character} specifying the remapping technique
used. Options are mentioned in \dQuote{remap} argument description.
}
-
}
\author{Vikram Bahure}
@@ -201,8 +217,7 @@
remap = "cumsum",
inference = TRUE,
inference.strategy = "bootstrap")
-print(es)
-plot(es)
+str(es)
}
\keyword{eventstudy}
Modified: pkg/man/excessReturn.Rd
===================================================================
--- pkg/man/excessReturn.Rd 2014-04-03 15:19:51 UTC (rev 283)
+++ pkg/man/excessReturn.Rd 2014-04-03 15:20:27 UTC (rev 284)
@@ -1,18 +1,21 @@
\name{excessReturn}
\alias{excessReturn}
-\title{Estimate excess returns}
+\title{Estimate excess returns over the market}
-\description{ This function estimates excess returns. If the firm return
- is \dQuote{firm.returns} and market return is \dQuote{market.returns},
- then output will be \dQuote{firm.returns} less
- \dQuote{market.returns}. }
+\description{
+ This function estimates excess returns over the market. If the firm
+ return is \dQuote{firm.returns} and market return is
+ \dQuote{market.returns}, then output will be \dQuote{firm.returns}
+ less \dQuote{market.returns}.
+}
\usage{excessReturn(firm.returns, market.returns)}
\arguments{
\item{firm.returns}{a \pkg{zoo} timeseries with firm returns from
which excess returns from market are to be calculated.}
+
\item{market.returns}{a \pkg{zoo} object containing market index
returns.}
}
Modified: pkg/man/lmAMM.Rd
===================================================================
--- pkg/man/lmAMM.Rd 2014-04-03 15:19:51 UTC (rev 283)
+++ pkg/man/lmAMM.Rd 2014-04-03 15:20:27 UTC (rev 284)
@@ -11,7 +11,7 @@
}
\arguments{
- \item{firm.returns}{a \sQuote{zoo} vector of data for one
+ \item{firm.returns}{a univariate \sQuote{zoo} object of data for one
regressor (firm).
}
Modified: pkg/man/manyfirmssubperiod.lmAMM.Rd
===================================================================
--- pkg/man/manyfirmssubperiod.lmAMM.Rd 2014-04-03 15:19:51 UTC (rev 283)
+++ pkg/man/manyfirmssubperiod.lmAMM.Rd 2014-04-03 15:20:27 UTC (rev 284)
@@ -1,11 +1,12 @@
\name{manyfirmssubperiod.lmAMM}
\alias{manyfirmssubperiod.lmAMM}
-\title{Compute AMM for multiple firms across several periods}
+\title{Estimate exposure for multiple regressors over multiple periods.}
-\description{This function runs AMM for multiple firms at once using
- the matrix of data obtained from \code{makeX}, and a matrix of LHS
- variables.}
+\description{\code{\link{manyfirmssubperiod.lmAMM}} estimates exposure
+ for multiple regressands over a set of regressors obtained by using
+ \sQuote{makeX} over multiple periods.
+ }
\usage{
manyfirmssubperiod.lmAMM(firm.returns,
@@ -17,32 +18,39 @@
}
\arguments{
+ \item{firm.returns}{a \sQuote{zoo} matrix of data for multiple
+ regressands (firms).
+ }
- \item{firm.returns}{A \pkg{zoo} object of all firms on which AMM is to be
- run.}
-
- \item{X}{a \pkg{zoo} object containing at least two regressors
- generally obtained after applying the \dQuote{makeX} function.}
-
+ \item{X}{a matrix of regressors obtained by using \sQuote{makeX}.
+ }
+
\item{lags}{an integer specifying the number of lags to be used in the
market model.}
- \item{dates}{a set of dates that mark out subperiods of interest. If
- dates is \sQuote{NULL}, then full period is considered.}
+ \item{dates}{ a \sQuote{Date} class vector, specifying break points in
+ the time series to be used for sub-period identification.
+ The default value is \sQuote{NULL} resulting in estimates
+ identical to \sQuote{lmAMM} used over multiple regressands.
+ }
\item{periodnames}{a \sQuote{character} vector of names for each
subperiod that has been marked by the \dQuote{dates} argument.}
- \item{verbose}{Whether to print detailed output. Default is \sQuote{FALSE}}
+ \item{verbose}{\sQuote{logical}, indicating whether the function
+ should print detailed results.
+ }
}
-%% FIXME: \details section!
-%% steps:
-%% - calculates exposures and SDS
-%% - runs AMM for each subperiod for each firm
+\details{
+ This function computes the exposure, and HAC adjusted standard errors
+ to linear augmented market models estimated for several regressands
+ across multiple periods.
+}
\section{Warning}{Do not have any space between names provided under
- \dQuote{periodnames}.}
+ \dQuote{periodnames}.
+}
\author{Ajay Shah, Vimal Balasubramaniam}
Modified: pkg/man/marketResidual.Rd
===================================================================
--- pkg/man/marketResidual.Rd 2014-04-03 15:19:51 UTC (rev 283)
+++ pkg/man/marketResidual.Rd 2014-04-03 15:20:27 UTC (rev 284)
@@ -1,22 +1,22 @@
\name{marketResidual}
\alias{marketResidual}
-\title{This function extracts market return from the firm return.}
+\title{Extract residuals from a market model}
-\description{This function extracts market return using regression from
- the firm return to get the residual return. }
+\description{This function extracts residuals from a market model using
+ function \code{stats:lm}.}
\usage{marketResidual(firm.returns, market.returns)}
\arguments{
- \item{firm.returns}{a \pkg{zoo} time series object with all firm returns.}
+ \item{firm.returns}{a \pkg{zoo} time series object (univariate or
+ otherwise) with firm returns.}
\item{market.returns}{a \pkg{zoo} time series of market index returns.}
}
-\value{Market residual after extracting market returns from the firm
- return.}
+\value{Residual returns unexplained by market index returns.}
\author{Vikram Bahure}
Modified: pkg/man/remap.cumprod.Rd
===================================================================
--- pkg/man/remap.cumprod.Rd 2014-04-03 15:19:51 UTC (rev 283)
+++ pkg/man/remap.cumprod.Rd 2014-04-03 15:20:27 UTC (rev 284)
@@ -1,30 +1,34 @@
\name{remap.cumprod}
\alias{remap.cumprod}
-\title{Compute geometric returns.}
+\title{Cumulative geometric values}
-\description{This function computes the geometric returns for a given
+\description{This function computes the cumulative geometric values for a given
\pkg{zoo} object.}
-\usage{remap.cumprod(z, is.pc = TRUE, is.returns = TRUE, base = 100)}
+\usage{
+ remap.cumprod(z, is.pc = FALSE, is.returns = TRUE, base = 100)
+}
\arguments{
+ \item{z}{a \pkg{zoo} object indexed by event time obtained from
+ \code{\link{phys2eventtime}}.}
- \item{z}{a \pkg{zoo} object indexed by event time, as returned from
- \dQuote{phys2eventtime}.}
+ \item{is.pc}{\sQuote{logical}, whether input is a percentage. Default
+ value set to \sQuote{FALSE}.}
- \item{is.pc}{\sQuote{logical}, whether input is a percentage.}
+ \item{is.returns}{\sQuote{logical}, whether input is a returns series.}
- \item{is.returns}{\sQuote{logical}, whether input is returns.}
-
\item{base}{an integer specifying the base for cumulative product.}
}
-\value{A \pkg{zoo} series is returned with each column replaced by the
- product of \dQuote{base} and the cumulative product of the column.}
+\value{A \pkg{zoo} object with the cumulative product for each series,
+ representing a buy-hold return estimate.
+}
+
\seealso{
-phys2eventtime
+ \code{\link{phys2eventtime}}
}
\examples{
@@ -39,4 +43,4 @@
is.returns = TRUE,
base = 100)
}
-
+head(eventtime[,1:5])
Modified: pkg/man/remap.cumsum.Rd
===================================================================
--- pkg/man/remap.cumsum.Rd 2014-04-03 15:19:51 UTC (rev 283)
+++ pkg/man/remap.cumsum.Rd 2014-04-03 15:20:27 UTC (rev 284)
@@ -1,31 +1,31 @@
\name{remap.cumsum}
\alias{remap.cumsum}
-\title{This function gives the cumulative total of the values (in
- level or percentage form).}
+\title{Cumulative values}
\description{
- This function gives the cumulative total of the values.
+ This function remaps a time series into its cumulative summation.
}
\usage{
-remap.cumsum(z, is.pc = TRUE, base = 0)
+remap.cumsum(z, is.pc = FALSE, base = 0)
}
\arguments{
- \item{z}{a \pkg{zoo} object indexed by event time, as returned from
+ \item{z}{a \pkg{zoo} object indexed by event time obtained from
\dQuote{phys2eventtime}.}
- \item{is.pc}{\sQuote{logical}, whether input is a percentage.}
+ \item{is.pc}{\sQuote{logical}, whether input is a percentage. Default
+ value set to \sQuote{FALSE}.}
\item{base}{an integer specifying the base for cumulative sum.}
}
-\value{A \pkg{zoo} series is returned having each column replaced by
- the cumulative sum of the column.}
+\value{A \pkg{zoo} object with the cumulative summation for each series.
+}
\seealso{
- eventDays, eventstudyData, phys2eventtime
+ \code{\link{phys2eventtime}}
}
\examples{
@@ -37,4 +37,5 @@
width = 5)
es.w <- window(es.results$z.e, start = -5, end = +5)
eventtime <- remap.cumsum(es.w, is.pc = FALSE, base = 0)
+head(eventtime[,1:5])
}
Modified: pkg/man/remap.event.reindex.Rd
===================================================================
--- pkg/man/remap.event.reindex.Rd 2014-04-03 15:19:51 UTC (rev 283)
+++ pkg/man/remap.event.reindex.Rd 2014-04-03 15:20:27 UTC (rev 284)
@@ -1,23 +1,25 @@
\name{remap.event.reindex}
\alias{remap.event.reindex}
-\title{Remaps the event date to 100 and remaps other values in event window}
+\title{
+ Reindex value within event window
+}
-%% FIXME: needs to be rewritten.
-\description{This function remaps the event date to 100, and other values
- relative to the remapped event date.
+\description{
+ Reset value at the beginning of the event window to a 100 and reindex thereon.
}
\usage{remap.event.reindex(z)}
\arguments{
- \item{z}{z is a zoo object containing input data from phys2eventtime.}
+ \item{z}{z is a zoo object obtained from
+ \code{\link{phys2eventtime}}.
}
-\value{The function returns a zoo object which has been rescaled.}
+\value{Rescaled returns value}
\seealso{
-phys2eventtime
+ \code{\link{phys2eventtime}}
}
\examples{
data(StockPriceReturns)
@@ -28,4 +30,5 @@
width = 5)
es.w <- window(es.results$z.e, start = -5, end = +5)
eventtime <- remap.event.reindex(es.w)
+head(eventtime[,1:5])
}
Modified: pkg/man/subperiod.lmAMM.Rd
===================================================================
--- pkg/man/subperiod.lmAMM.Rd 2014-04-03 15:19:51 UTC (rev 283)
+++ pkg/man/subperiod.lmAMM.Rd 2014-04-03 15:20:27 UTC (rev 284)
@@ -3,8 +3,8 @@
\title{Estimate exposure for a single regressor over multiple periods}
-\description{This function estimates exposure for a single regressor
- over a set of regressands obtained by using \sQuote{makeX}
+\description{This function estimates exposure for a single regressand
+ over a set of regressors obtained by using \sQuote{makeX}
over multiple periods.
}
@@ -20,15 +20,16 @@
\arguments{
\item{firm.returns}{a \sQuote{zoo} vector of data for one
- regressor (firm).
+ regressand (firm).
}
- \item{X}{a matrix of regressands obtained by using \sQuote{makeX}.
+ \item{X}{a matrix of regressors obtained by using \sQuote{makeX}.
See \sQuote{Details} when this is specified as a market model.
}
\item{nlags}{specifies a lag length required from the specified set
- of regressands. When unspecified, the best lag using the AIC is used.
+ of regressors. When unspecified, the best lag using the AIC is
+ computed for the market model.
}
\item{verbose}{\sQuote{logical}, indicating whether the function
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