[Eventstudies-commits] r333 - pkg/vignettes

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

Author: chiraganand
Date: 2014-05-15 01:13:29 +0200 (Thu, 15 May 2014)
New Revision: 333

Modified:
   pkg/vignettes/new.Rnw
Log:
Added code to compare AMM output.

Modified: pkg/vignettes/new.Rnw
===================================================================
--- pkg/vignettes/new.Rnw	2014-05-14 23:12:29 UTC (rev 332)
+++ pkg/vignettes/new.Rnw	2014-05-14 23:13:29 UTC (rev 333)
@@ -89,7 +89,7 @@
 
 While daily returns data has been supplied, the standard event study
 deals with cumulated returns. In order to achieve this, we set
-to.remap to TRUE and we ask that this remapping be done using cumsum.
+to.remap to \code{TRUE} and we ask that this remapping be done using cumsum.
 
 Finally, we come to inference strategy. We instruct eventstudy to do
 inference and ask for bootstrap inference.
@@ -103,7 +103,7 @@
 
 The object returned by eventstudy is of class `es'. It is a list with
 five components. Three of these are just a record of the way
-eventstudy() was run: the inference procedure adopted (bootstrap
+\code{eventstudy()} was run: the inference procedure adopted (bootstrap
 inference in this case), the window width (10 in this case) and the
 method used for mapping the data (cumsum). The two new things are
 `outcomes' and `eventstudy.output'.
@@ -243,9 +243,13 @@
 interval at date 0 as a measure of efficiency.
 
 <<efficiency-comparison,results=verbatim>>=
-tmp <- rbind(es$eventstudy.output[10,], es.mm$eventstudy.output[10,])[,c(1,3)]
-rownames(tmp) <- c("None","MM")
-tmp[,2]-tmp[,1]
+tmp <- rbind(es$eventstudy.output[10, ],
+             es.mm$eventstudy.output[10, ],
+             es.amm$eventstudy.output[10, ]
+             )[,c(1,3)]
+rownames(tmp) <- c("None","MM", "AMM")
+print(tmp["MM", ] - tmp["None", ])
+print(tmp["AMM", ] - tmp["None", ])
 @ 
 
 This shows a sharp reduction in the width of the bootstrap 95\%