[Eventstudies-commits] r401 - pkg/R

[noreply at r-forge.r-project.org]

Author: chiraganand
Date: 2014-12-06 08:43:22 +0100 (Sat, 06 Dec 2014)
New Revision: 401

Modified:
   pkg/R/eventstudy.R
Log:
Fixed the lmAMM residuals class, added residuals for excessReturn type.

Modified: pkg/R/eventstudy.R
===================================================================
--- pkg/R/eventstudy.R	2014-12-02 21:00:05 UTC (rev 400)
+++ pkg/R/eventstudy.R	2014-12-06 07:43:22 UTC (rev 401)
@@ -117,6 +117,8 @@
           outputModel <- NULL
       } else {
         outputResiduals <- lapply(outputModel, function(x) attributes(x)[["residuals"]])
+        outputResiduals <- lapply(outputResiduals, function(x)
+                                  zoo(as.numeric(x), order.by = as.integer(names(x))))
         outputModel <- do.call(merge.zoo, outputModel)
       }
     }
@@ -203,10 +205,11 @@
           return(NULL)
         }
         estimation.period <- attributes(firm)[["estimation.period"]]
-        model <- excessReturn(na.locf(firm$z.e[event.period, "firm.returns"]), #XXX: remove na.locf
-                              na.locf(firm$z.e[event.period, "market.returns"])) #XXX: remove na.locf
+        model <- excessReturn(na.locf(firm$z.e[c(estimation.period, event.period), "firm.returns"]), #XXX: remove na.locf
+                              na.locf(firm$z.e[c(estimation.period, event.period), "market.returns"])) #XXX: remove na.locf
 
-        abnormal.returns <- model
+        abnormal.returns <- model[event.period, ]
+        attr(abnormal.returns, "residuals") <- model[estimation.period, ]
         return(abnormal.returns)
       })
 
@@ -220,6 +223,7 @@
         warning("excessReturn() returned NULL\n")
         outputModel <- NULL
       } else {
+        outputResiduals <- lapply(outputModel, function(x) attributes(x)[["residuals"]])
         outputModel <- do.call(merge.zoo, outputModel[!sapply(outputModel, is.null)])
       }
     }