[Eventstudies-commits] r345 - pkg/man
noreply at r-forge.r-project.org
noreply at r-forge.r-project.org
Thu May 15 20:16:29 CEST 2014
Author: chiraganand
Date: 2014-05-15 20:16:29 +0200 (Thu, 15 May 2014)
New Revision: 345
Modified:
pkg/man/eesInference.Rd
pkg/man/eesSummary.Rd
Log:
Modified language and examples.
Modified: pkg/man/eesInference.Rd
===================================================================
--- pkg/man/eesInference.Rd 2014-05-15 17:24:26 UTC (rev 344)
+++ pkg/man/eesInference.Rd 2014-05-15 18:16:29 UTC (rev 345)
@@ -4,7 +4,8 @@
\title{Extreme event study inference estimation}
\description{This function performs event study analysis on extreme event dates
- (\sQuote{eesDates}) and formatted output (\sQuote{get.clusters.formatted})
+ (\sQuote{eesDates}) and formatted output using
+ (\sQuote{get.clusters.formatted})
}
\usage{
@@ -13,82 +14,84 @@
}
\arguments{
- \item{input}{
- an output object of \sQuote{get.clusters.formatted}
- }
+ \item{input}{
+ a formatted cluster object, as returned by
+ \sQuote{get.clusters.formatted} function.
+ }
- \item{eventLists}{
- an output object of \sQuote{eesDates}, which provides event list
- for normal and purged events
- }
+ \item{eventLists}{
+ a \sQuote{list} of normal and purged events as returned by
+ \sQuote{eesDates}.
+ }
- \item{width}{
- an \sQuote{integer} of length 1 that specifies a
- symmetric event window around the event date.
- }
+ \item{width}{
+ an \sQuote{integer} of length 1 that specifies a
+ symmetric event window around the event date.
+ }
- \item{to.remap}{
- \sQuote{logical}, indicating whether or not to remap
- the data in \sQuote{input}.The default setting is \sQuote{TRUE}
- }
+ \item{to.remap}{
+ \sQuote{logical}, indicating whether or not to remap
+ the data in \sQuote{input}.The default setting is \sQuote{TRUE}
+ }
- \item{remap}{
- \sQuote{character}, indicating the type of remap required,
- \dQuote{cumsum}, \dQuote{cumprod}, or \dQuote{reindex}. Used when
- \sQuote{to.remap} is \sQuote{TRUE}.
- }
+ \item{remap}{
+ \sQuote{character}, indicating the type of remap required,
+ \dQuote{cumsum}, \dQuote{cumprod}, or \dQuote{reindex}. Used when
+ \sQuote{to.remap} is \sQuote{TRUE}.
+ }
- \item{inference}{
- \sQuote{logical}, specifying whether to undertake statistical
- inference and compute confidence intervals. The default setting is
- \sQuote{TRUE}.
- }
+ \item{inference}{
+ \sQuote{logical}, specifying whether to undertake statistical
+ inference and compute confidence intervals. The default setting is
+ \sQuote{TRUE}.
+ }
- \item{inference.strategy}{a \sQuote{character} scalar specifying the
- inference strategy to be used for estimating the confidence
- interval. Presently, two methods are available: \dQuote{bootstrap}
- and \dQuote{wilcox}. The default setting is \sQuote{bootstrap}.
- }
+ \item{inference.strategy}{a \sQuote{character} scalar specifying the
+ inference strategy to be used for estimating the confidence
+ interval. Presently, two methods are available: \dQuote{bootstrap}
+ and \dQuote{wilcox}. The default setting is \sQuote{bootstrap}.
+ }
}
-\details{
- This function performs event study analysis on the extreme event dates of normal
- (unclustered events) and purged (clustered and unclustered events) sets. These
- dates are obtained from function \sQuote{eesDates}. The function also estimates
- confidence interval using different inference strategies
- (\sQuote{bootstrap,wilcoxon}). The functionalities are similar to
- \sQuote{eventstudy} function without market model adjustment and \sQuote{input}
- is output of \sQuote{get.clusters.formatted}, not \sQuote{firm.returns}.
+\details{ This function performs event study analysis using
+ \code{eventstudy} function on the extreme event dates of normal
+ (unclustered events) and purged (clustered and unclustered events)
+ sets. These interesting dates are obtained from function \sQuote{eesDates}. The
+ function can estimate confidence interval using different inference
+ strategies as provided by \code{eventstudy()}.
+
+ The function does not do market model adjustment but takes the
+ output of \code{get.clusters.formatted} as it's input.
}
-\value{
- Format of event study output is a \sQuote{matrix} containing mean (bootstrap)
- or median (with wilcoxon) estimate with confidence interval; \sQuote{NULL} if there
- are no \dQuote{success} \dQuote{outcomes}
-
- A list with class attribute \dQuote{ees} holding the
- following four event study output elements:
+\value{ Format of event study output is a \sQuote{matrix} containing
+ mean or median estimate with confidence interval; \sQuote{NULL} if
+ there are no \dQuote{success} \dQuote{outcomes}. See
+ \link{\code{phys2eventtime}} for more details.
+
+ A \sQuote{list} with class attribute \dQuote{ees} holding the
+ following four event study output elements:
- \item{good.normal}{
- an event study inference \sQuote{matrix} for right tail unclustered events,
- termed as normal
- }
-
- \item{bad.normal}{
- an event study inference \sQuote{matrix} for left tail unclustered events,
- termed as normal
- }
+ \item{good.normal}{
+ an event study inference \sQuote{matrix} for right tail unclustered events,
+ termed as normal
+ }
+
+ \item{bad.normal}{
+ an event study inference \sQuote{matrix} for left tail unclustered events,
+ termed as normal
+ }
- \item{good.purged}{
- an event study inference \sQuote{matrix} for right tail clustered and unclustered
- events, termed as purged
- }
-
- \item{bad.purged}{
- an event study inference \sQuote{matrix} for left tail clustered and unclustered
- events, termed as purged
- }
+ \item{good.purged}{
+ an event study inference \sQuote{matrix} for right tail clustered and unclustered
+ events, termed as purged
+ }
+
+ \item{bad.purged}{
+ an event study inference \sQuote{matrix} for left tail clustered and unclustered
+ events, termed as purged
+ }
}
\references{
@@ -105,14 +108,14 @@
\examples{
data(OtherReturns)
-## Formatting extreme event dates
-input <- get.clusters.formatted(event.series = OtherReturns[,"SP500"],
- response.series = OtherReturns[,"NiftyIndex"])
-## Extracting event dates
-event.lists <- eesDates(input)
+formattedClusters <- get.clusters.formatted(event.series = OtherReturns[, "SP500"],
+ response.series = OtherReturns[, "NiftyIndex"])
-## Performing event study analysis and computing inference
-inf <- eesInference(input = input, eventLists = event.lists, width = 5)
-str(inf, max.level = 2)
+event.lists <- eesDates(formattedClusters)
+
+inference <- eesInference(input = formattedClusters,
+ eventLists = event.lists,
+ width = 5)
+str(inference, max.level = 2)
}
Modified: pkg/man/eesSummary.Rd
===================================================================
--- pkg/man/eesSummary.Rd 2014-05-15 17:24:26 UTC (rev 344)
+++ pkg/man/eesSummary.Rd 2014-05-15 18:16:29 UTC (rev 345)
@@ -13,15 +13,15 @@
}
\arguments{
- \item{input}{an output object of \sQuote{get.clusters.formatted}}
+ \item{input}{object returned by \sQuote{get.clusters.formatted}}
}
-\details{
- This function generates summary statistics of extreme events,
- using the tail events as defined in the function \sQuote{get.clusters.formatted}.
+\details{This function generates summary statistics of extreme events,
+ using the tail events as returned by the function
+ \sQuote{get.clusters.formatted}.
- Following statistics is generated for both lower and upper tail
- events:
+ Following statistics are generated for both lower and upper tail
+ events:
\itemize{
\item \sQuote{extreme.event.distribution} provides summary
@@ -47,7 +47,7 @@
\value{ A \code{list} object containing:
\item{data.summary}{a \sQuote{data.frame} containing summary of
- the data set minimum, maximum, inter-quartile range, mean, median,
+ the minimum, maximum, inter-quartile range, mean, median,
standard deviation and quantile values at 5\%, 25\%, 75\% and 95\%.}
\item{lower.tail}{a \sQuote{list} that contains
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