[Eventstudies-commits] r285 - in pkg: . R man
noreply at r-forge.r-project.org
noreply at r-forge.r-project.org
Thu Apr 3 19:06:22 CEST 2014
Author: chiraganand
Date: 2014-04-03 19:06:22 +0200 (Thu, 03 Apr 2014)
New Revision: 285
Modified:
pkg/DESCRIPTION
pkg/NAMESPACE
pkg/R/eventstudy.R
pkg/R/inference.bootstrap.R
pkg/R/marketResidual.R
pkg/man/inference.bootstrap.Rd
pkg/man/inference.wilcox.Rd
pkg/man/manyfirmssubperiod.lmAMM.Rd
pkg/man/remap.cumprod.Rd
pkg/man/remap.event.reindex.Rd
Log:
Rd files updated and some syntax changes also complete. NAMESPACE updated to import various libraries and DESCRIPTION date upated.
Modified: pkg/DESCRIPTION
===================================================================
--- pkg/DESCRIPTION 2014-04-03 15:20:27 UTC (rev 284)
+++ pkg/DESCRIPTION 2014-04-03 17:06:22 UTC (rev 285)
@@ -2,7 +2,7 @@
Type: Package
Title: Event study analysis
Version: 1.2
-Date: 2014-03-28
+Date: 2014-04-03
Author: Chirag Anand, Vikram Bahure, Vimal Balasubramaniam, Ajay Shah
Maintainer: Vikram Bahure <economics.vikram at gmail.com>
Depends: R (>= 2.12.0), zoo, xts, boot, testthat, sandwich
Modified: pkg/NAMESPACE
===================================================================
--- pkg/NAMESPACE 2014-04-03 15:20:27 UTC (rev 284)
+++ pkg/NAMESPACE 2014-04-03 17:06:22 UTC (rev 285)
@@ -1,7 +1,9 @@
export(eventstudy, inference.bootstrap, inference.wilcox, phys2eventtime,
remap.cumsum, remap.cumprod, remap.event.reindex, ees, eesPlot)
+
export(marketResidual,
excessReturn)
+
export(subperiod.lmAMM, manyfirmssubperiod.lmAMM, lmAMM, makeX)
@@ -13,3 +15,5 @@
S3method(plot, amm)
S3method(plot, es)
+
+import(boot,sandwich,testthat,xts,zoo)
Modified: pkg/R/eventstudy.R
===================================================================
--- pkg/R/eventstudy.R 2014-04-03 15:20:27 UTC (rev 284)
+++ pkg/R/eventstudy.R 2014-04-03 17:06:22 UTC (rev 285)
@@ -2,7 +2,7 @@
eventList,
width = 10,
is.levels = FALSE,
- type = "None",
+ type = "marketResidual",
to.remap = TRUE,
remap = "cumsum",
inference = TRUE,
Modified: pkg/R/inference.bootstrap.R
===================================================================
--- pkg/R/inference.bootstrap.R 2014-04-03 15:20:27 UTC (rev 284)
+++ pkg/R/inference.bootstrap.R 2014-04-03 17:06:22 UTC (rev 285)
@@ -48,6 +48,7 @@
# This function does bootstrap inference for the entire
# Ecar, i.e. main graph of the event study.
inference.bootstrap <- function(es.w, to.plot=TRUE,
+ boot.run=1000,
xlab = "Event time",
ylab = "Cumulative returns of response series",
main = "Event study plot") {
@@ -55,7 +56,8 @@
colMeans(transposed[d,], na.rm=TRUE)
}
tmp <- t(as.matrix(es.w))
- b <- boot(tmp, Ecar, R=1000)
+ b <- boot(tmp, Ecar, R=boot.run)
+
results <- NULL
for (i in 1:ncol(b$t)) {
Modified: pkg/R/marketResidual.R
===================================================================
--- pkg/R/marketResidual.R 2014-04-03 15:20:27 UTC (rev 284)
+++ pkg/R/marketResidual.R 2014-04-03 17:06:22 UTC (rev 285)
@@ -15,7 +15,10 @@
fulldata <- merge(x,y,all=TRUE)
fulldata <- window(fulldata,start=startdate,end=enddate)
-
+ if (length(fulldata) == 0) {
+ warning("no common window found");
+ return(NULL)
+ }
## Storing NA observations
non.na.loc <- complete.cases(fulldata)
fulldata <- fulldata[complete.cases(fulldata),]
@@ -30,12 +33,16 @@
## Checking
if(NCOL(firm.returns)>1){
- result <- NULL
- for(i in 1:NCOL(firm.returns)){
- res <- mm.residual(y=firm.returns[,i],x=market.returns)
- result <- merge(result,res,all=TRUE)
+ result <- lapply(firm.returns, function(i)
+ {
+ mm.residual(y=i,x=market.returns)
+ })
+ names(result) <- colnames(firm.returns)
+ chk <- which(do.call("c",lapply(result,is.null))==TRUE)
+ if(length(chk)!=0){
+ result <- result[-chk]
}
- colnames(result) <- colnames(firm.returns)
+ result <- do.call("merge.zoo", result)
} else {
result <- mm.residual(y=firm.returns,x=market.returns)
}
Modified: pkg/man/inference.bootstrap.Rd
===================================================================
--- pkg/man/inference.bootstrap.Rd 2014-04-03 15:20:27 UTC (rev 284)
+++ pkg/man/inference.bootstrap.Rd 2014-04-03 17:06:22 UTC (rev 285)
@@ -1,16 +1,17 @@
\name{inference.bootstrap}
\alias{inference.bootstrap}
-\title{Do bootstrap inference for event study analysis}
+\title{Bootstrap inference for event study estimator}
\description{
- This function does bootstrap inference to generate distribution of
- average of all the cumulative returns time-series.
+ This function obtains a boostrapped confidence interval for estimates
+ of magnitude over the event horizon.
}
\usage{
inference.bootstrap(es.w,
to.plot = TRUE,
+ boot.run = 1000,
xlab = "Event time",
ylab = "Cumulative returns of response series",
main = "Event study plot")
@@ -18,11 +19,16 @@
\arguments{
\item{es.w}{
- a \pkg{zoo} series indexed by event time: the \dQuote{z.e}
+ a \pkg{zoo} object indexed by event time: the \dQuote{z.e}
component of the list returned by the \code{\link{phys2eventtime}}
function.
}
+ \item{boot.run}{
+ A \sQuote{numeric}, controlling the number of simulations required
+ for the bootstrap.
+ }
+
\item{to.plot}{a \sQuote{logical} indicating whether to generate an
eventstudy plot of the inference estimated. Defaults to
\sQuote{TRUE}.
@@ -38,12 +44,6 @@
\sQuote{TRUE}.}
}
-%% FIXME: more details
-\details{
- Function \sQuote{boot} from package \pkg{boot} is used for
- bootstrapping with \emph{replicates} of 1000.
-}
-
\value{
A \sQuote{matrix} with 3 columns, the lower confidence interval
(CI), the mean, and the upper CI which are the result of bootstrap
Modified: pkg/man/inference.wilcox.Rd
===================================================================
--- pkg/man/inference.wilcox.Rd 2014-04-03 15:20:27 UTC (rev 284)
+++ pkg/man/inference.wilcox.Rd 2014-04-03 17:06:22 UTC (rev 285)
@@ -20,15 +20,17 @@
\arguments{
- \item{es.w}{a \pkg{zoo} series indexed by event time. It is the
- \dQuote{z.e} component of the list returned by function
- \dQuote{phys2eventtime}.}
+ \item{es.w}{
+ a \pkg{zoo} object indexed by event time: the \dQuote{z.e}
+ component of the list returned by the \code{\link{phys2eventtime}}
+ function.
+ }
- \item{to.plot}{a \sQuote{logical}. indicating whether to generate an
+ \item{to.plot}{a \sQuote{logical} indicating whether to generate an
eventstudy plot of the inference estimated. Defaults to
\sQuote{TRUE}.
}
-
+
\item{xlab}{the x-axis label of the generated plot. Used if
\dQuote{to.plot} is \sQuote{TRUE}.}
@@ -39,7 +41,6 @@
\sQuote{TRUE}.}
}
-%% FIXME: add \details section?
\value{A \sQuote{matrix} with 3 columns: the lower confidence interval (CI),
the mean, and the upper CI which are the result of wilcox inference.}
@@ -59,6 +60,5 @@
width = 5)
es.w <- window(es.results$z.e, start = -5, end = +5)
eventtime <- remap.cumsum(es.w, is.pc = FALSE, base = 0)
-infr <- inference.wilcox(es.w = eventtime, to.plot = FALSE)
-head(infr)
+inference.wilcox(es.w = eventtime, to.plot = FALSE)
}
Modified: pkg/man/manyfirmssubperiod.lmAMM.Rd
===================================================================
--- pkg/man/manyfirmssubperiod.lmAMM.Rd 2014-04-03 15:20:27 UTC (rev 284)
+++ pkg/man/manyfirmssubperiod.lmAMM.Rd 2014-04-03 17:06:22 UTC (rev 285)
@@ -1,10 +1,10 @@
\name{manyfirmssubperiod.lmAMM}
\alias{manyfirmssubperiod.lmAMM}
-\title{Estimate exposure for multiple regressors over multiple periods.}
+\title{Estimate exposure for many regressands over multiple periods.}
\description{\code{\link{manyfirmssubperiod.lmAMM}} estimates exposure
- for multiple regressands over a set of regressors obtained by using
+ for many regressands over a set of regressors obtained by using
\sQuote{makeX} over multiple periods.
}
Modified: pkg/man/remap.cumprod.Rd
===================================================================
--- pkg/man/remap.cumprod.Rd 2014-04-03 15:20:27 UTC (rev 284)
+++ pkg/man/remap.cumprod.Rd 2014-04-03 17:06:22 UTC (rev 285)
@@ -42,5 +42,6 @@
is.pc = TRUE,
is.returns = TRUE,
base = 100)
+head(eventtime[,1:5])
}
-head(eventtime[,1:5])
+
Modified: pkg/man/remap.event.reindex.Rd
===================================================================
--- pkg/man/remap.event.reindex.Rd 2014-04-03 15:20:27 UTC (rev 284)
+++ pkg/man/remap.event.reindex.Rd 2014-04-03 17:06:22 UTC (rev 285)
@@ -11,9 +11,10 @@
\usage{remap.event.reindex(z)}
-\arguments{
+\arguments{
\item{z}{z is a zoo object obtained from
- \code{\link{phys2eventtime}}.
+ \code{\link{phys2eventtime}}.
+ }
}
\value{Rescaled returns value}
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