[Eventstudies-commits] r166 - in pkg: data man

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

Author: vikram
Date: 2014-02-13 10:55:05 +0100 (Thu, 13 Feb 2014)
New Revision: 166

Added:
   pkg/man/subperiod.lmAMM.Rd
Removed:
   pkg/data/inr.rda
   pkg/data/nifty.index.rda
   pkg/man/onefirmAMM.Rd
Log:
Removing reduntant data sets

Deleted: pkg/data/inr.rda
===================================================================
(Binary files differ)

Deleted: pkg/data/nifty.index.rda
===================================================================
(Binary files differ)

Deleted: pkg/man/onefirmAMM.Rd
===================================================================
--- pkg/man/onefirmAMM.Rd	2014-02-13 09:52:44 UTC (rev 165)
+++ pkg/man/onefirmAMM.Rd	2014-02-13 09:55:05 UTC (rev 166)
@@ -1,62 +0,0 @@
-\name{subperiod.lmAMM}
-\alias{subperiod.lmAMM}
-
-\title{A function that estimates exposure for a single firm over multiple periods}
-
-\description{This function typically utilises an firm.returns vector
-  and an X matrix of explanatory variables obtained out of
-  using the makeX function. This would compute the exposure
-  for all columns in X for the specified time periods. 
-}
-
-\usage{
-subperiod.lmAMM(firm.returns, X, nlags = 1, verbose = FALSE, dates = NULL, residual = TRUE)
-}
-
-\arguments{
-  \item{firm.returns}{A vector of data for one firm
-  }
-  \item{X}{A matrix of explanatory variables obtained from
-    the makeX function. The first variable is always the
-    stock market index. Other variables could be risk factors
-    such as currency or bond returns, or foreign portfolio inflows.
-  }
-  \item{nlags}{Number of lags of explanatory variables. When unspecified
-    the best lag using the AIC is used.
-  }
-  \item{verbose}{Default is FALSE. When set to TRUE, the function
-    prints detailed results of using the function. 
-  }
-  \item{dates}{Default is NULL. If no dates are mentioned, subperiod.lmAMM does
-  what firmExposures() would do, i.e., estimate exposures for the full time period.
-  }
-  \item{residual}{Returns AMM Residuals if TRUE, AMM exposure
-  otherwise. Defaults to TRUE.}
-}
-\value{ The function returns the exposures, HAC adjusted standard
-  errors, the number of lags used, and the residuals from the fitted
-  model.}
-
-\author{Vimal Balasubramaniam}
-
-\seealso{ \code{\link{firmExposures}},
-\code{\link{manyfirmsAMM}}}
-
-\examples{ 
-# Create RHS before running subperiod.lmAMM()
-data("lmAMMData")
-firm.returns <- lmAMMData$Infosys
-market.returns <- lmAMMData$index.nifty
-currency.returns <- lmAMMData$currency.inrusd
-regressors <- makeX(market.returns, others=currency.returns,
-              switch.to.innov=TRUE, market.returns.purge=TRUE, nlags=1,
-              dates=as.Date(c("2012-02-01","2013-01-01","2014-01-31")), verbose=FALSE)
-# Run AMM for one firm across different periods
-res <- subperiod.lmAMM(firm.returns,
-		 X=regressors,
-                 nlags=1,
-            	 verbose=TRUE,
-            	 dates= as.Date(c("2012-02-01","2013-01-01","2014-01-31")))
-}
-
-\keyword{subperiod.lmAMM}
\ No newline at end of file

Copied: pkg/man/subperiod.lmAMM.Rd (from rev 165, pkg/man/onefirmAMM.Rd)
===================================================================
--- pkg/man/subperiod.lmAMM.Rd	                        (rev 0)
+++ pkg/man/subperiod.lmAMM.Rd	2014-02-13 09:55:05 UTC (rev 166)
@@ -0,0 +1,62 @@
+\name{subperiod.lmAMM}
+\alias{subperiod.lmAMM}
+
+\title{A function that estimates exposure for a single firm over multiple periods}
+
+\description{This function typically utilises an firm.returns vector
+  and an X matrix of explanatory variables obtained out of
+  using the makeX function. This would compute the exposure
+  for all columns in X for the specified time periods. 
+}
+
+\usage{
+subperiod.lmAMM(firm.returns, X, nlags = 1, verbose = FALSE, dates = NULL, residual = TRUE)
+}
+
+\arguments{
+  \item{firm.returns}{A vector of data for one firm
+  }
+  \item{X}{A matrix of explanatory variables obtained from
+    the makeX function. The first variable is always the
+    stock market index. Other variables could be risk factors
+    such as currency or bond returns, or foreign portfolio inflows.
+  }
+  \item{nlags}{Number of lags of explanatory variables. When unspecified
+    the best lag using the AIC is used.
+  }
+  \item{verbose}{Default is FALSE. When set to TRUE, the function
+    prints detailed results of using the function. 
+  }
+  \item{dates}{Default is NULL. If no dates are mentioned, subperiod.lmAMM does
+  what firmExposures() would do, i.e., estimate exposures for the full time period.
+  }
+  \item{residual}{Returns AMM Residuals if TRUE, AMM exposure
+  otherwise. Defaults to TRUE.}
+}
+\value{ The function returns the exposures, HAC adjusted standard
+  errors, the number of lags used, and the residuals from the fitted
+  model.}
+
+\author{Vimal Balasubramaniam}
+
+\seealso{ \code{\link{firmExposures}},
+\code{\link{manyfirmsAMM}}}
+
+\examples{ 
+# Create RHS before running subperiod.lmAMM()
+data("lmAMMData")
+firm.returns <- lmAMMData$Infosys
+market.returns <- lmAMMData$index.nifty
+currency.returns <- lmAMMData$currency.inrusd
+regressors <- makeX(market.returns, others=currency.returns,
+              switch.to.innov=TRUE, market.returns.purge=TRUE, nlags=1,
+              dates=as.Date(c("2012-02-01","2013-01-01","2014-01-31")), verbose=FALSE)
+# Run AMM for one firm across different periods
+res <- subperiod.lmAMM(firm.returns,
+		 X=regressors,
+                 nlags=1,
+            	 verbose=TRUE,
+            	 dates= as.Date(c("2012-02-01","2013-01-01","2014-01-31")))
+}
+
+\keyword{subperiod.lmAMM}
\ No newline at end of file