[Eventstudies-commits] r303 - pkg/inst/tests

noreply at r-forge.r-project.org noreply at r-forge.r-project.org
Thu May 1 21:29:11 CEST 2014


Author: chiraganand
Date: 2014-05-01 21:29:11 +0200 (Thu, 01 May 2014)
New Revision: 303

Added:
   pkg/inst/tests/test_NiftyIndex.rda
   pkg/inst/tests/test_SplitDates.rda
   pkg/inst/tests/test_StockPriceReturns.rda
   pkg/inst/tests/test_USDINR.rda
Modified:
   pkg/inst/tests/test_interfaces.R
Log:
Added interface testing for inference procedures and remapping, added more testing data sets.

Added: pkg/inst/tests/test_NiftyIndex.rda
===================================================================
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Property changes on: pkg/inst/tests/test_NiftyIndex.rda
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Added: svn:mime-type
   + application/x-gzip

Added: pkg/inst/tests/test_SplitDates.rda
===================================================================
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Property changes on: pkg/inst/tests/test_SplitDates.rda
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Added: svn:mime-type
   + application/x-gzip

Added: pkg/inst/tests/test_StockPriceReturns.rda
===================================================================
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Property changes on: pkg/inst/tests/test_StockPriceReturns.rda
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Added: svn:mime-type
   + application/x-xz

Added: pkg/inst/tests/test_USDINR.rda
===================================================================
(Binary files differ)


Property changes on: pkg/inst/tests/test_USDINR.rda
___________________________________________________________________
Added: svn:mime-type
   + application/x-gzip

Modified: pkg/inst/tests/test_interfaces.R
===================================================================
--- pkg/inst/tests/test_interfaces.R	2014-05-01 05:10:52 UTC (rev 302)
+++ pkg/inst/tests/test_interfaces.R	2014-05-01 19:29:11 UTC (rev 303)
@@ -4,8 +4,8 @@
     load("test_SplitDates.rda")
     load("test_StockPriceReturns.rda")
     load("test_NiftyIndex.rda")
+    load("test_usdinr.rda")
 
-
 ### Basic event study with default args (market residuals)
     cat("Checking market residuals interface: ")
     expected_mean <- c(0, 0.0393985717416213, -0.7458035091065,
@@ -29,9 +29,9 @@
 
 ### AMM interface
     cat("Checking AMM interface: ")
-XX    expected_mean <- c(0, 0.0393985717416213, -0.7458035091065,
-                     0.457817077869512, 0.715714066835461, 2.33986420702835,
-                     2.37333344340029)
+    expected_mean <-  c(0, 0.135927645042554, -0.600457594252805, 0.631525565290171,
+                        0.871423869901684, 2.54741102266723, 2.5989730099384)
+
     expected_outcomes <- c("success", "success")
 
     test_events <- data.frame(outcome.unit = "ONGC",
@@ -39,13 +39,114 @@
                               stringsAsFactors = FALSE)
     test_returns<- StockPriceReturns[complete.cases(StockPriceReturns$ONGC), "ONGC",
                                      drop = FALSE]
+    test_others <- USDINR
     test_es <- eventstudy(firm.returns = test_returns,
                           eventList = test_events,
                           width = 3,
                           type = "lmAMM",
-                          market.returns = NiftyIndex,
+                          market.returns = NiftyIndex[index(USDINR)],
                           others = test_others)
 
     expect_that(expected_mean, equals(test_es$eventstudy.output[, "Mean"]))
     expect_that(expected_outcomes, equals(test_es$outcomes))
     expect_is(test_es, "es")
+
+### Excess return
+    cat("Checking excess return interface: ")
+    expected_mean <- c(0, 0.138567158395153, -0.631185954448288, 0.701644918222266,
+                       1.15001275036422, 2.88646832315114, 3.32315429568726)
+    expected_outcomes <- c("success", "success")
+
+    test_events <- data.frame(outcome.unit = "ONGC",
+                              event.when = c("2011-08-01", "2010-05-14"),
+                              stringsAsFactors = FALSE)
+    test_returns<- StockPriceReturns[complete.cases(StockPriceReturns$ONGC), "ONGC",
+                                     drop = FALSE]
+
+    test_es <- eventstudy(firm.returns = test_returns,
+                          eventList = test_events,
+                          width = 3,
+                          type = "excessReturn",
+                          market.returns = NiftyIndex)
+
+    expect_that(expected_mean, equals(test_es$eventstudy.output[, "Mean"]))
+    expect_that(expected_outcomes, equals(test_es$outcomes))
+    expect_is(test_es, "es")
+
+### Remapping
+    cat("Checking remapping: ")
+    test_events <- data.frame(outcome.unit = "ONGC",
+                              event.when = c("2011-08-01", "2010-05-14"),
+                              stringsAsFactors = FALSE)
+    test_returns <- StockPriceReturns[complete.cases(StockPriceReturns$ONGC), "ONGC",
+                                      drop = FALSE]
+
+    ## cumsum
+    test_es <- eventstudy(firm.returns = test_returns,
+                          eventList = test_events,
+                          width = 3,
+                          type = "None",
+                          to.remap = FALSE,
+                          remap = "cumsum")
+
+    test_es_remap <- eventstudy(firm.returns = test_returns,
+                          eventList = test_events,
+                          width = 3,
+                          type = "None",
+                          to.remap = TRUE,
+                          remap = "cumsum")
+
+    expect_error(expect_that(test_es, equals(test_es_remap)))
+
+    ## cumprod
+    test_es <- eventstudy(firm.returns = test_returns,
+                          eventList = test_events,
+                          width = 3,
+                          type = "None",
+                          to.remap = FALSE,
+                          remap = "cumprod")
+
+    test_es_remap <- eventstudy(firm.returns = test_returns,
+                          eventList = test_events,
+                          width = 3,
+                          type = "None",
+                          to.remap = TRUE,
+                          remap = "cumprod")
+
+    expect_error(expect_that(test_es, equals(test_es_remap)))
+
+### Inference
+    cat("Checking inference interface: ")
+    ## bootstrap
+    test_es_inference <- eventstudy(firm.returns = test_returns,
+                                    eventList = test_events,
+                                    width = 3,
+                                    type = "None",
+                                    inference = TRUE,
+                                    inference.strategy = "bootstrap")
+
+    test_es <- eventstudy(firm.returns = test_returns,
+                          eventList = test_events,
+                          width = 3,
+                          type = "None",
+                          inference = FALSE,
+                          inference.strategy = "bootstrap")
+
+    expect_error(expect_that(test_es_inference, equals(test_es)))
+
+    ## wilcoxon
+    test_es_inference <- eventstudy(firm.returns = test_returns,
+                                    eventList = test_events,
+                                    width = 3,
+                                    type = "None",
+                                    inference = TRUE,
+                                    inference.strategy = "wilcoxon")
+
+    test_es <- eventstudy(firm.returns = test_returns,
+                          eventList = test_events,
+                          width = 3,
+                          type = "None",
+                          inference = FALSE,
+                          inference.strategy = "wilcoxon")
+
+    expect_error(expect_that(test_es_inference, equals(test_es)))



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