[Eventstudies-commits] r319 - / pkg/data pkg/man
noreply at r-forge.r-project.org
noreply at r-forge.r-project.org
Mon May 12 12:50:15 CEST 2014
Author: chiraganand
Date: 2014-05-12 12:50:15 +0200 (Mon, 12 May 2014)
New Revision: 319
Added:
pkg/data/OtherReturns.rda
pkg/man/OtherReturns.Rd
Removed:
pkg/data/AMMData.rda
pkg/data/EESData.rda
pkg/data/INR.rda
pkg/data/MMData.rda
pkg/data/NiftyIndex.rda
pkg/man/AMMData.Rd
pkg/man/EESData.Rd
pkg/man/INR.Rd
pkg/man/MMData.Rd
pkg/man/NiftyIndex.Rd
Modified:
pkg/man/ees.Rd
pkg/man/eesPlot.Rd
pkg/man/eventstudy.Rd
pkg/man/excessReturn.Rd
pkg/man/lmAMM.Rd
pkg/man/makeX.Rd
pkg/man/manyfirmssubperiod.lmAMM.Rd
pkg/man/marketResidual.Rd
pkg/man/phys2eventtime.Rd
pkg/man/remap.cumprod.Rd
pkg/man/remap.cumsum.Rd
pkg/man/remap.event.reindex.Rd
pkg/man/subperiod.lmAMM.Rd
todo.org
Log:
Removed unneeded data sets, clubbed all the other returns into one rda, added it's manual.
Deleted: pkg/data/AMMData.rda
===================================================================
(Binary files differ)
Deleted: pkg/data/EESData.rda
===================================================================
(Binary files differ)
Deleted: pkg/data/INR.rda
===================================================================
(Binary files differ)
Deleted: pkg/data/MMData.rda
===================================================================
(Binary files differ)
Deleted: pkg/data/NiftyIndex.rda
===================================================================
(Binary files differ)
Added: pkg/data/OtherReturns.rda
===================================================================
(Binary files differ)
Property changes on: pkg/data/OtherReturns.rda
___________________________________________________________________
Added: svn:mime-type
+ application/x-xz
Deleted: pkg/man/AMMData.Rd
===================================================================
--- pkg/man/AMMData.Rd 2014-05-12 10:49:17 UTC (rev 318)
+++ pkg/man/AMMData.Rd 2014-05-12 10:50:15 UTC (rev 319)
@@ -1,21 +0,0 @@
-\name{AMMData}
-\alias{AMMData}
-\docType{data}
-
-\title{Data set containing firm returns, market returns, currency
- returns, and call money rate used for AMM estimation}
-
-\description{This data set consists of daily time series for firm
- returns (Infosys and TCS), market returns (Nifty returns), currency
- returns (INR/USD), and call money rate. It is used to demonstrate
- augmented market model estimation.
-
- The data series is a daily time-series zoo object. The sample range for
- the data is from 2012-02-01 to 2014-01-31. All series are in per cent.
-}
-
-\usage{data(AMMData)}
-
-\author{Vikram Bahure}
-
-\keyword{AMMData}
Deleted: pkg/man/EESData.Rd
===================================================================
--- pkg/man/EESData.Rd 2014-05-12 10:49:17 UTC (rev 318)
+++ pkg/man/EESData.Rd 2014-05-12 10:50:15 UTC (rev 319)
@@ -1,15 +0,0 @@
-\name{EESData}
-\alias{EESData}
-\docType{data}
-
-\title{Returns data used for extreme events analysis}
-
-\description{This data set is used to demonstrate extreme events study
- functionality of the package. It contains daily returns data (in per
- cent) of S&P 500 and the NIFTY Index.}
-
-\usage{data(EESData)}
-
-\author{Chirag Anand}
-
-\keyword{datasets}
Deleted: pkg/man/INR.Rd
===================================================================
--- pkg/man/INR.Rd 2014-05-12 10:49:17 UTC (rev 318)
+++ pkg/man/INR.Rd 2014-05-12 10:50:15 UTC (rev 319)
@@ -1,18 +0,0 @@
-\name{INR}
-\alias{INR}
-\docType{data}
-
-\title{Exchange rate data of Indian Rupee to US Dollar}
-
-\description{
- A sample of INR/USD rates from 1990 to 2011.
-}
-\usage{data(INR)}
-
-\format{\pkg{zoo}}
-
-\examples{
-data(INR)
-}
-
-\keyword{datasets}
Deleted: pkg/man/MMData.Rd
===================================================================
--- pkg/man/MMData.Rd 2014-05-12 10:49:17 UTC (rev 318)
+++ pkg/man/MMData.Rd 2014-05-12 10:50:15 UTC (rev 319)
@@ -1,21 +0,0 @@
-\name{MMData}
-\alias{MMData}
-
-
-\title{Sample data used for market model examples}
-
-\description{This data is only used for market model examples.}
-
-\usage{data(MMData)}
-
-\format{\pkg{zoo}}
-
-\author{Vikram Bahure}
-
-\examples{
-library(zoo)
-data(MMData)
-str(MMData)
-}
-
-\keyword{MMData}
Deleted: pkg/man/NiftyIndex.Rd
===================================================================
--- pkg/man/NiftyIndex.Rd 2014-05-12 10:49:17 UTC (rev 318)
+++ pkg/man/NiftyIndex.Rd 2014-05-12 10:50:15 UTC (rev 319)
@@ -1,14 +0,0 @@
-\name{NiftyIndex}
-\alias{NiftyIndex}
-\docType{data}
-
-\title{NSE Nifty index from 2004 to 2012}
-
-\description{Time series of Nifty index return (in per cent) from 1990
- to 2012.}
-
-\usage{data(NiftyIndex)}
-
-\author{Vikram Bahure}
-
-\keyword{NiftyIndex}
Added: pkg/man/OtherReturns.Rd
===================================================================
--- pkg/man/OtherReturns.Rd (rev 0)
+++ pkg/man/OtherReturns.Rd 2014-05-12 10:50:15 UTC (rev 319)
@@ -0,0 +1,20 @@
+\name{OtherReturns}
+\alias{OtherReturns}
+\docType{data}
+
+\title{Data set containing daily returns of Nifty index, USD INR, call momey
+ rate, and S&P 500 index.}
+
+\description{This data set consists of daily time series of market
+ returns (Nifty index and S&P 500 index), currency returns (USD/INR),
+ and call money rate.
+
+ The data series is a daily time-series zoo object. All series are in
+ per cent.
+}
+
+\usage{data(OtherReturns)}
+
+\author{Chirag Anand}
+
+\keyword{OtherReturns}
Modified: pkg/man/ees.Rd
===================================================================
--- pkg/man/ees.Rd 2014-05-12 10:49:17 UTC (rev 318)
+++ pkg/man/ees.Rd 2014-05-12 10:50:15 UTC (rev 319)
@@ -85,7 +85,8 @@
\author{Vikram Bahure, Vimal Balasubramaniam}
\examples{
-data(EESData)
-r <- ees(EESData$sp500, prob.value = 5)
+data(OtherReturns)
+
+r <- ees(OtherReturns$SP500, prob.value = 5)
str(r, max.level = 2)
}
Modified: pkg/man/eesPlot.Rd
===================================================================
--- pkg/man/eesPlot.Rd 2014-05-12 10:49:17 UTC (rev 318)
+++ pkg/man/eesPlot.Rd 2014-05-12 10:50:15 UTC (rev 319)
@@ -69,10 +69,11 @@
\author{Vikram Bahure, Vimal Balasubramaniam}
\examples{
-data(EESData)
-eesPlot(z = EESData,
- response.series.name = "nifty",
- event.series.name = "sp500",
+data("OtherReturns")
+
+eesPlot(z = OtherReturns,
+ response.series.name = OtherReturns$NiftyIndex,
+ event.series.name = OtherReturns$SP500,
titlestring = "S&P500",
ylab = "(Cum.) change in NIFTY")
}
Modified: pkg/man/eventstudy.Rd
===================================================================
--- pkg/man/eventstudy.Rd 2014-05-12 10:49:17 UTC (rev 318)
+++ pkg/man/eventstudy.Rd 2014-05-12 10:50:15 UTC (rev 319)
@@ -218,12 +218,21 @@
plot(es)
## Event study using Augment Market Model
-data("AMMData")
+data("OtherReturns")
+
events <- data.frame(outcome.unit = c("Infosys", "TCS"),
event.when = c("2012-04-01", "2012-06-01"),
stringsAsFactors = FALSE)
-es <- eventstudy(firm.returns = AMMData[, c("Infosys", "TCS")],
+ammdata <- merge.zoo(Infosys = StockPriceReturns$Infosys,
+ TCS = StockPriceReturns$TCS,
+ NiftyIndex,
+ INRUSD = OtherReturns$INRUSD,
+ CallMoneyRate = OtherReturns$CallMoneyRate,
+ all = FALSE)
+ammdata <- window(ammdata, start = "2012-02-01", end = "2012-12-31")
+
+es <- eventstudy(firm.returns = ammdata[, c("Infosys", "TCS")],
eventList = events,
width = 10,
type = "lmAMM",
@@ -231,9 +240,9 @@
remap = "cumsum",
inference = TRUE,
inference.strategy = "bootstrap",
- ## model args
- market.returns = AMMData[, "index.nifty"],
- others = AMMData[, c("currency.inrusd", "call.money.rate")],
+ # model arguments
+ market.returns = ammdata[, "NiftyIndex"],
+ others = ammdata[, c("INRUSD", "CallMoneyRate")],
market.returns.purge = TRUE
)
str(es)
Modified: pkg/man/excessReturn.Rd
===================================================================
--- pkg/man/excessReturn.Rd 2014-05-12 10:49:17 UTC (rev 318)
+++ pkg/man/excessReturn.Rd 2014-05-12 10:50:15 UTC (rev 319)
@@ -25,15 +25,15 @@
\examples{
data(StockPriceReturns)
-data(NiftyIndex)
+data(OtherReturns)
er.result <- excessReturn(firm.returns = StockPriceReturns,
- market.returns = NiftyIndex)
+ market.returns = OtherReturns$NiftyIndex)
-## Checking output: Comparing excess return, raw returns, nifty returns
-output <- merge(er.result$Infosys, StockPriceReturns$Infosys, NiftyIndex,all=FALSE)
-colnames(output) <- c("excess.return", "raw.returns", "nifty.returns")
-tail(output)
+tail(merge(excessReturn = er.result$Infosys,
+ Infosys = StockPriceReturns$Infosys,
+ NiftyIndex = OtherReturns$NiftyIndex,
+ all=FALSE))
}
\keyword{excessReturn}
Modified: pkg/man/lmAMM.Rd
===================================================================
--- pkg/man/lmAMM.Rd 2014-05-12 10:49:17 UTC (rev 318)
+++ pkg/man/lmAMM.Rd 2014-05-12 10:50:15 UTC (rev 319)
@@ -77,32 +77,31 @@
}
\examples{
-data("AMMData")
data("StockPriceReturns")
-data("NiftyIndex")
+data("OtherReturns")
-firm.returns <- AMMData[,"Infosys"]
-market.returns <- AMMData[,"index.nifty"]
-currency.returns <- AMMData[,"currency.inrusd"]
+firm.returns <- StockPriceReturns[, "Infosys"]
+market.returns <- OtherReturns[ ,"NiftyIndex"]
+currency.returns <- OtherReturns[, "INRUSD"]
X <- makeX(market.returns,
- others = currency.returns,
- switch.to.innov = FALSE,
- market.returns.purge = FALSE,
- verbose = FALSE)
+ others = currency.returns,
+ switch.to.innov = FALSE,
+ market.returns.purge = FALSE,
+ verbose = FALSE)
amm.result <- lmAMM(firm.returns, X, nlags = 0, verbose = FALSE)
plot(amm.result)
amm.residual <- residuals(amm.result)
-amm.residual <- zoo(amm.residual,as.Date(names(amm.residual)))
+amm.residual <- zoo(amm.residual,
+ order.by = as.Date(names(amm.residual)))
-## Checking output: Comparing augmented market model residual, raw returns, nifty returns
-output <- merge(amm.residual, StockPriceReturns$Infosys, NiftyIndex,
- all = FALSE)
-colnames(output) <- c("AMM Residual", "Raw Returns", "Nifty Returns")
-tail(output)
-plot(output)
+comparison <- merge(AMMResidual = amm.residual,
+ Infosys = StockPriceReturns$Infosys,
+ NiftyIndex = OtherReturns$NiftyIndex,
+ all = FALSE)
+plot(comparison)
}
\keyword{lmAMM}
Modified: pkg/man/makeX.Rd
===================================================================
--- pkg/man/makeX.Rd 2014-05-12 10:49:17 UTC (rev 318)
+++ pkg/man/makeX.Rd 2014-05-12 10:50:15 UTC (rev 319)
@@ -75,15 +75,15 @@
\author{Ajay Shah, Chirag Anand, Vikram Bahure, Vimal Balasubramaniam}
\examples{
-data("AMMData")
-market.returns <- AMMData$index.nifty
-currency.returns <- AMMData$currency.inrusd
+data("OtherReturns")
+market.returns <- OtherReturns$NiftyIndex
+currency.returns <- OtherReturns$INRUSD
X <- makeX(market.returns,
others = currency.returns,
switch.to.innov = FALSE,
market.returns.purge = FALSE,
verbose = FALSE)
-head(X)
+head(na.omit(X))
}
\keyword{makeX}
Modified: pkg/man/manyfirmssubperiod.lmAMM.Rd
===================================================================
--- pkg/man/manyfirmssubperiod.lmAMM.Rd 2014-05-12 10:49:17 UTC (rev 318)
+++ pkg/man/manyfirmssubperiod.lmAMM.Rd 2014-05-12 10:50:15 UTC (rev 319)
@@ -59,11 +59,11 @@
}
\examples{
-data("AMMData")
+data("OtherReturns")
-firm.returns <- AMMData[, c("Infosys","TCS")]
-market.returns <- AMMData[, "index.nifty"]
-currency.returns <- AMMData[, "currency.inrusd"]
+firm.returns <- StockPriceReturns[, c("Infosys","TCS")]
+market.returns <- OtherReturns$NiftyIndex
+currency.returns <- OtherReturns$INRUSD
X <- makeX(market.returns,
others = currency.returns,
Modified: pkg/man/marketResidual.Rd
===================================================================
--- pkg/man/marketResidual.Rd 2014-05-12 10:49:17 UTC (rev 318)
+++ pkg/man/marketResidual.Rd 2014-05-12 10:50:15 UTC (rev 319)
@@ -21,18 +21,17 @@
\author{Vikram Bahure}
\examples{
-data(StockPriceReturns)
-data(NiftyIndex)
+data("StockPriceReturns")
+data("OtherReturns")
mm.result <- marketResidual(firm.returns = StockPriceReturns,
- market.returns = NiftyIndex)
+ market.returns = OtherReturns$NiftyIndex)
-## Checking output: Comparing market model residual, raw returns, nifty returns
-output <- merge(mm.result$Infosys, StockPriceReturns$Infosys, NiftyIndex,
- all=FALSE)
-colnames(output) <- c("market.residual", "raw.returns", "nifty.returns")
-tail(output)
-
+comparison <- merge(MarketResidual = mm.result$Infosys,
+ Infosys = StockPriceReturns$Infosys,
+ NiftyIndex = OtherReturns$NiftyIndex,
+ all = FALSE)
+plot(comparison)
}
\keyword{marketResidual}
Modified: pkg/man/phys2eventtime.Rd
===================================================================
--- pkg/man/phys2eventtime.Rd 2014-05-12 10:49:17 UTC (rev 318)
+++ pkg/man/phys2eventtime.Rd 2014-05-12 10:50:15 UTC (rev 319)
@@ -83,15 +83,5 @@
width = 5)
print(result$z.e[as.character(-3:3)])
print(result$outcomes)
-
-## Checking conversion to event time frame for first successful event date
-c.no <- as.numeric(colnames(result$z.e))
-cnames <- SplitDates[c.no[1], ]
-phys.output <- as.numeric(result$z.e[as.character(c(-5:5)), as.character(c.no[1])])
-loc <- which(index(StockPriceReturns) \%in\% SplitDates[c.no[1], "event.when"])
-raw.data <- as.numeric(StockPriceReturns[c((loc-5):(loc+5)),
- SplitDates[c.no[1], "outcome.unit"]])
-check.output <- cbind(raw.data, phys.output)
-check.output
}
\keyword{phys2eventime}
Modified: pkg/man/remap.cumprod.Rd
===================================================================
--- pkg/man/remap.cumprod.Rd 2014-05-12 10:49:17 UTC (rev 318)
+++ pkg/man/remap.cumprod.Rd 2014-05-12 10:50:15 UTC (rev 319)
@@ -47,9 +47,6 @@
is.returns = TRUE,
base = 100)
-check.output <- cbind(es.w[,1], eventtime[,1])
-colnames(check.output) <- c("abnormal.returns", "cumulative.abnormal.returns")
-check.output
-head(eventtime[,1:5])
+print(eventtime[as.character(-3:3), ])
}
Modified: pkg/man/remap.cumsum.Rd
===================================================================
--- pkg/man/remap.cumsum.Rd 2014-05-12 10:49:17 UTC (rev 318)
+++ pkg/man/remap.cumsum.Rd 2014-05-12 10:50:15 UTC (rev 319)
@@ -45,9 +45,5 @@
es.w <- window(es.results$z.e, start = -5, end = +5)
eventtime <- remap.cumsum(es.w, is.pc = FALSE, base = 0)
-## Comparing abnormal returns (AR) and cumulative abnormal returns (CAR)
-check.output <- cbind(es.w[,1], eventtime[,1])
-colnames(check.output) <- c("abnormal.returns", "cumulative.abnormal.returns")
-check.output
-head(eventtime[,1:5])
+print(eventtime[as.character(-3:3), ])
}
Modified: pkg/man/remap.event.reindex.Rd
===================================================================
--- pkg/man/remap.event.reindex.Rd 2014-05-12 10:49:17 UTC (rev 318)
+++ pkg/man/remap.event.reindex.Rd 2014-05-12 10:50:15 UTC (rev 319)
@@ -36,5 +36,5 @@
eventtime <- remap.event.reindex(es.w)
-head(eventtime[, 1:5])
+eventtime[as.character(-3:3), ]
}
Modified: pkg/man/subperiod.lmAMM.Rd
===================================================================
--- pkg/man/subperiod.lmAMM.Rd 2014-05-12 10:49:17 UTC (rev 318)
+++ pkg/man/subperiod.lmAMM.Rd 2014-05-12 10:50:15 UTC (rev 319)
@@ -64,12 +64,13 @@
\seealso{ \code{\link{lmAMM}}}
-\examples{
-data("AMMData")
+\examples{
+data("StockPriceReturns")
+data("OtherReturns")
-firm.returns <- AMMData$Infosys
-market.returns <- AMMData$index.nifty
-currency.returns <- AMMData$currency.inrusd
+firm.returns <- StockPriceReturns$Infosys
+market.returns <- OtherReturns$NiftyIndex
+currency.returns <- OtherReturns$USDINR
regressors <- makeX(market.returns,
others = currency.returns,
Modified: todo.org
===================================================================
--- todo.org 2014-05-12 10:49:17 UTC (rev 318)
+++ todo.org 2014-05-12 10:50:15 UTC (rev 319)
@@ -41,3 +41,259 @@
* Testing
- manual calculation of numbers in the tests
- revert old tests?
+* plot.amm
+ - Fix the x-axis tick labels: the number is too small
+ - Increase number of plots (the funky way)
+
+* plot.es
+ - "Event study plot capabilities" email on 30th April.
+
+* Ajay's comments
+** On the eesPlot code
+ data.frmt2 <- data.use[which(data.use$cluster.pattern != 0), ]
+
+ Can we please have better variable names.
+
+ hilo1 <- c(-big, big)
+ plot.es.graph.both(es.good.normal, es.bad.normal, es.good.purged,
+ es.bad.purged, width, titlestring, ylab)
+
+ Can we please have better names than hilo1. And, you are making it and
+ not using it.
+
+** Feedback on eesPlot
+ Why do we have eesPlot?
+
+ When I look at the name, I think "Okay, this is a plot function, and
+ why is this not just an S3 plot method". When I see the first one line
+ description on the man page my opinion is confirmed.
+
+ Then I look deeper and it is absolutely not a plot function! It is a
+ function which figures out a list of events, then runs an event study,
+ and then does a customised plot.
+
+ We should not have such functions.
+
+ We should ask the user to run ees() and then run eventstudy() and then
+ use the plot method.
+
+ Perhaps we should ask the user to do:
+
+ es.lefttail <- eventstudies(left tail)
+ es.righttail <- eventstudies(right tail)
+ plot(mfrow=c(2,1))
+ plot(es.lefttail, type="blah")
+ plot(es.righttail, type="blah")
+
+ On an unrelated note, I found it disturbing that the code for
+ eesPlot() does not use ees(). This violates the principle of code
+ reuse. Perhaps we should have the framework where x<-ees() just makes
+ lists of interesting events and then summary(x) generates all those
+ descriptive tables about number of events and run length and so on.
+
+ Why is the example saying " ## Generating event study plots (using
+ modified event study methodology)". It looks gauche.
+
+ There is one spelling mistake in the man page but I've forgotten where
+ it is.
+
+** Feedback on eventstudies::ees
+ 1. The entire concept of what we're doing is critically connected
+ to the choice of the event window!!!
+
+ The function and the documentation of the function is silent about
+ this and that's completely wrong.
+
+ Our concept of what's a clean unclustered event is : clean within a
+ stated event window. We never say this. And, it's bad software
+ engineering to hardcode this to a number. This must be an argument to
+ the function.
+
+ 2. The title of the function and the first para of the function are
+ quite lame. They say:
+
+ "This function generates summary statistics for identification and
+ analysis of extreme events.". This mostly leaves me in the dark
+ about what's going on.
+
+ "Tail (Rare) events are often the object of interest in finance.
+ These events are defined as those that have a low probability of
+ occurrence. This function identifies such events based on
+ prob.value mentioned by the user and generates summary
+ statistics about the events. If ‘prob.value’ is 2.5%, events
+ below
+ 2.5% (lower tail) and above 97.5% (upper tail) of the
+ distribution
+ are identified as extreme events." This makes the function seem
+ like a massive waste of time. Using R we can trivially find the
+ upper tail observations - no new function is required here. If I
+ read this paragraph I would completely lose interest in the
+ package; I would think these lame developers are taking trivial
+ one/two lines of R code and encoding it as a function with a new
+ name - why would I never bother to learn their new API.
+
+ The entire value added of the code lies in identifying clean
+ unclustered events, stabbing into messy situations by trying to fuse
+ clustered events under certain conditions, and walking away from
+ places where fusing can't be done. None of that is advertised in the
+ man page. The word 'fuse' does not occur anywhere on the man page!
+
+ 3. When I run the example I get a huge messy structure that's no
+ fun. Why not have:
+ str(output, max.level=2)
+ which is more comprehensible.
+
+ 4. Look at
+
+ library(eventstudies)
+ data(EESData)
+ ## Input S&P 500 as the univariate series
+ input <- EESData$sp500
+ ## Constructing summary statistics for 5% tail values (5% on both
+ sides)
+ output <- ees(input, prob.value = 5)
+ str(output)
+
+ It looks nicer and more readable as:
+
+ library(eventstudies)
+ data(EESData)
+ r <- ees(EESData$sp500, prob.value = 5)
+ str(r, max.level=2)
+
+ 5. Choose a consistent style. Is there going to be a
+ library(eventstudies) in front of all the examples? This was not
+ there with the others. Why is it here?
+
+ 6. Why are we saying " To convert number to words, code uses
+ function “numbers2words†by
+ John Fox and “deprintize†function by Miron Kursa.". We are
+ using thousands of functions by others but is this a big deal?
+
+ 7. In
+
+ $data$Clustered
+ event.series cluster.pattern
+ 2000-03-16 2.524452 3
+ 2003-03-17 3.904668 2
+
+ Perhaps the word `runlength' is universally understood instead of
+ cluster.pattern
+
+ The word `event.series' is incomprehensible to me.
+
+ 8. In :
+
+ > output$upper.tail$extreme.event.distribution
+ unclstr used.clstr removed.clstr tot.clstr tot tot.used
+ upper 65 5 32 37 102 70
+
+ The column names are horrible.
+
+ Pick a more rational sequencing where this process unfolds from
+ left to right.
+
+ This table is the heart of the functionality of what's being done and
+ it isn't explained at all in the man page.
+
+ The man page should say that the researcher might like to only
+ study clean unclustered events - in which case he should run with
+ xxx. If he wishes to use the methodology of fusing adjacent events
+ as done in PSS, then additionally we are able to salvage the events
+ xxx.
+
+
+ 9. The run length table should be defined as a table showing a
+ column which is the run length and a column which is the number
+ of events which are a run of that length.
+
+ 10. Just confirming: In a package vignette we're going to be able
+ to reproduce some key results from the tables of PSS using this
+ function?
+
+ 11. Wouldn't it be neat to draw something graphical with
+ abline(v=xxx, lty=2) where all the extreme events are shown on
+ a picture? With a different colour for fused and for rejected
+ events.
+
+** Feedback on eventstudies package
+
+ First batch.
+
+ - At many places the phrase `eventstudy' is being used when what's
+ required is `event study'.
+
+ - When I say ?AMMData iqt is riddled with mistakes!!!! The man page
+ has four sentences and has more than 1 error per sentence.
+
+ 1. The first few words read: "The data series is a daily time-series
+ zoo object. The sample range for the data is from 2012-02-01 to
+ 2014-01-31." Why should this be the top priority?
+
+ 2. The two sentences after this, which add up to the full man page,
+ contain one grammatical error each.
+
+ 3. Nowhere in the man page is the unit mentioned (per cent).
+
+ 4. The dataset contains call.money.rate and that's inconsistent with
+ the man page.
+
+ 5. The example says library(zoo) which is not required.
+
+Why do we need a special data object named AMMData? Can we not just
+have one single example dataset with daily returns data for firms,
+that is used for the examples involving both event studies and AMM?
+
+If you had to have this in the package (which I doubt), a better
+example is:
+
+ data(AMMData)
+ str(AMMData)
+ tail(AMMData)
+ summary(AMMData)
+
+We in India use too many abbreviations. Let's stick to the phrase
+`augmented market model' instead of overusing the phrase AMM.
+
+
+*** When I say ?EESData I see a section `Format' which is not in ?AMMData.
+
+ The facts on this man page should say that this is a dataset for
+ the purpose of demonstrating the EES functionality (no
+ abbreviations please), and for replicating the results of the PSS
+ paper. It should explain what the data is (daily returns measured
+ in per cent).
+
+ - Why is the example here different from the example for AMMData?
+
+*** The dataset INR introduces a new word `sample' which was not used in the previous two.
+ Can we please have extreme maniacal consistency in all these?
+ As pointed out above, there is duplication between INR being here and
+ it being in AMMData.
+
+*** It is truly wrong to have a MMData data object!!
+ Nothing prevents you from estimating an MM using the data for an AMM.
+ Can we please be more intelligent about all this.
+
+** Collated
+ - bad variable names
+ - eesPlot: make it S3 function
+ - Do: ees(), eventstudy(), plot()
+ - summary.ees()
+ - ees(): event window in the API and the man pages (language + information)
+ - Remove comments from examples, plus cleaning
+ - Example consistency: remove library() calls from examples
+ - Remove unneeded references
+ - ees(): output colnames, output table format (+sequencing)
+ - ees(): reproducibility of PSS in the vignette
+ - plot.ees()
+ - Spell check
+ - Use "event study" instead of "eventstudy"
+ - Man pages: AMMData: grammatical errors, language, units,
+ consistent sections, call.money.rate
+ - EESData: say about PSS
+ - Avoid abbreviations
+ - Get rid of MMData, INR dataset
+ - lmAMM example
+ - phys2eventtime example
+ - Spell check
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