[Eventstudies-commits] r209 - pkg/man
noreply at r-forge.r-project.org
noreply at r-forge.r-project.org
Fri Mar 21 06:26:10 CET 2014
Author: vikram
Date: 2014-03-21 06:26:06 +0100 (Fri, 21 Mar 2014)
New Revision: 209
Modified:
pkg/man/StockPriceReturns.Rd
pkg/man/eventstudy.Rd
pkg/man/lmAMM.Rd
pkg/man/makeX.Rd
pkg/man/phys2eventtime.Rd
pkg/man/remap.cumprod.Rd
pkg/man/remap.event.reindex.Rd
Log:
Modified the man pages
Modified: pkg/man/StockPriceReturns.Rd
===================================================================
--- pkg/man/StockPriceReturns.Rd 2014-03-20 19:21:11 UTC (rev 208)
+++ pkg/man/StockPriceReturns.Rd 2014-03-21 05:26:06 UTC (rev 209)
@@ -6,7 +6,7 @@
\title{An example dataset of stock price returns to perform eventstudy analysis.}
-% FIXME: Remove NAs in the dataset?
+% FIXME: Remove NAs in the dataset? If we do complete.cases then all rows will be removed
\description{This data set contains stock price returns of 30 major
stocks on the National Stock Exchange (NSE) of India for a period of 23
years.}
Modified: pkg/man/eventstudy.Rd
===================================================================
--- pkg/man/eventstudy.Rd 2014-03-20 19:21:11 UTC (rev 208)
+++ pkg/man/eventstudy.Rd 2014-03-21 05:26:06 UTC (rev 209)
@@ -44,13 +44,13 @@
\sQuote{logical}, indicating whether to convert event-window returns into cumulative sum, cumulative product or re-index
}
- \item{remap}{ % FIXME: list all the possible
- % options properly. Needs better
- % explanation of the purpose of
- % the argument
+ \item{remap}{
\sQuote{character}, this argument is used when \dQuote{to.remap} is
- \sQuote{TRUE}, which estimates cumulative sum (cumsum), cumulative
- product (cumprod) or reindex the event frame. Currently supported options are \dQuote{cumsum}, \dQuote{cumprod}, \dQuote{reindex}. Defaults to \dQuote{cumsum}.
+ \sQuote{TRUE}. Provides four options: \cr
+ \dQuote{cumsum}: Cumulative sum \cr
+ \dQuote{cumprod}: Cumulative product, buy-hold-abnormal-return (BHAR) \cr
+ \dQuote{reindex}: re-indexing the event window. \cr
+ Defaults to \dQuote{cumsum}.
}
\item{is.levels}{
Modified: pkg/man/lmAMM.Rd
===================================================================
--- pkg/man/lmAMM.Rd 2014-03-20 19:21:11 UTC (rev 208)
+++ pkg/man/lmAMM.Rd 2014-03-21 05:26:06 UTC (rev 209)
@@ -39,11 +39,9 @@
\item{exposures}{a \sQuote{numeric} containing exposure estimates for
the firm j.}
- %% FIXME: "for the firm firm.returns" doesn't make sense. Is it "for
- %% the firm with returns 'firm.returns'?
\item{s.exposures}{a \sQuote{numeric} containing the HAC adjusted
standard error of the exposures estimated for the firm
- firm.returns.}
+ with returns \sQuote{firm.returns}.}
\item{nlags}{shows the lag length provided by user.}
}
Modified: pkg/man/makeX.Rd
===================================================================
--- pkg/man/makeX.Rd 2014-03-20 19:21:11 UTC (rev 208)
+++ pkg/man/makeX.Rd 2014-03-21 05:26:06 UTC (rev 209)
@@ -20,12 +20,13 @@
\arguments{
%% FIXME: our example contains univariate time-series object. Can it
- %% accept multiple columns as input?
+ %% accept multiple columns as input? Here we are only supposed to use one column
\item{market.returns}{a \pkg{zoo} timeseries object. This is generally
fixed to the stock market index. The first column vector of this
matrix contains this variable. }
%% FIXME: same as market.returns: can it contain more than one variable?
+ %% This variable is supported to take more than one variables.
\item{others}{A zoo matrix with other regressors of interest in the
AMM. This could be currency, bond returns, foreign flows, or any
other variable.}
@@ -34,14 +35,10 @@
each column in \dQuote{others}. Whether to switch the column from
raw values to AR residuals.}
- %% FIXME: Second part of the sentence (i.e.) is somewhat unclear.
- \item{market.returns.purge}{Whether to purge the effects
- \dQuote{others} from \dQuote{market.returns} (i.e., is it replaced by
- residuals of a model explaining market.returns using all these
- 'others').}
+ \item{market.returns.purge}{a \sQuote{logical} element, indicating whether to purge the effects of \dQuote{others} from \dQuote{market.returns}. }
\item{nlags}{The number of lag terms present in this model explaining
- market.returns using all these \dQuote{others}.}
+ \dQuote{market.returns} using all these \dQuote{others}.}
\item{dates}{Specified break dates as \sQuote{Date} object (either from
structural breaks in exchange rate regimes) so that all these steps
@@ -51,9 +48,8 @@
\sQuote{FALSE}}.
}
-%% FIXME: Provide a reason why there shouldn't be NAs.
-\section{Warning}{The input data should not contain \sQuote{NA}s. Please
- use \sQuote{na.omit} before feeding data into this function.}
+\section{Warning}{The input data should not contain \sQuote{NA}s as required by \dQuote{lm} function to compute linear estimates. Please use \sQuote{na.omit} before feeding data into this function.}
+
\value{This function generates a user specified matrix of explanatory
variables that will be further used in running Augmented market
Modified: pkg/man/phys2eventtime.Rd
===================================================================
--- pkg/man/phys2eventtime.Rd 2014-03-20 19:21:11 UTC (rev 208)
+++ pkg/man/phys2eventtime.Rd 2014-03-21 05:26:06 UTC (rev 209)
@@ -18,7 +18,7 @@
which the event frame is to be generated. See \sQuote{Details}.}
%% FIXME: should remove this description from eventstudy.Rd, and point
- %% it here?
+ %% it here? eventstudy is a general function, it will need all args description?
\item{events}{
\sQuote{data.frame} of two columns containing event
dates. \dQuote{outcome.unit} consists of column names of the event
@@ -47,11 +47,17 @@
Returns a \sQuote{list} of two elements:
\item{z.e}{a zoo object indexed with event time.}
- %% FIXME: list all the options here instead of writing them inside
- %% eventstudy.Rd?
- \item{outcomes}{a \sQuote{character} vector containing the
- status of each \dQuote{outcome.unit}.
- }
+ \item{outcomes}{
+ a \sQuote{character} vector having outcome of each event
+ date. Provides four outcomes: \cr
+ \dQuote{success}: shows the successful use of event date. \cr
+ \dQuote{wdatamissing}: appears when width data is missing around
+ the event. \cr
+ \dQuote{wrongspan}: if event date falls outside the range of physical
+ date. \cr
+ \dQuote{unimissing}: when the unit (firm name) is missing in the event
+ list.
+ }
}
\examples{
Modified: pkg/man/remap.cumprod.Rd
===================================================================
--- pkg/man/remap.cumprod.Rd 2014-03-20 19:21:11 UTC (rev 208)
+++ pkg/man/remap.cumprod.Rd 2014-03-21 05:26:06 UTC (rev 209)
@@ -30,16 +30,13 @@
\examples{
data(StockPriceReturns)
data(SplitDates)
-
es.results <- phys2eventtime(z = StockPriceReturns,
events = SplitDates,
width = 5)
es.w <- window(es.results$z.e, start = -5, end = +5)
-
-%% FIXME: is base=0 good an example?
eventtime <- remap.cumprod(es.w,
- is.pc = FALSE,
+ is.pc = TRUE,
is.returns = TRUE,
- base = 0)
+ base = 100)
}
Modified: pkg/man/remap.event.reindex.Rd
===================================================================
--- pkg/man/remap.event.reindex.Rd 2014-03-20 19:21:11 UTC (rev 208)
+++ pkg/man/remap.event.reindex.Rd 2014-03-21 05:26:06 UTC (rev 209)
@@ -1,15 +1,11 @@
\name{remap.event.reindex}
\alias{remap.event.reindex}
-\title{This function remaps the event date to 100, and other values
- relative to the remapped event date.}
+\title{Remaps the event date to 100 and remaps other values in event window}
%% FIXME: needs to be rewritten.
-\description{A function which consumes a zoo object where there are lots
- of events (as columns). The contents are all levels. For each column,
- the event date value is set to 100 and all other values are scaled
- accordingly. It's input is a zoo object which is the first component of
- the list returned by phys2eventtime.
+\description{This function remaps the event date to 100, and other values
+ relative to the remapped event date.
}
\usage{remap.event.reindex(z)}
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