[Eventstudies-commits] r359 - in pkg: R man vignettes

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

Author: vikram
Date: 2014-05-16 12:08:22 +0200 (Fri, 16 May 2014)
New Revision: 359

Modified:
   pkg/R/eventstudy.R
   pkg/man/eventstudy.Rd
   pkg/vignettes/eventstudies.Rnw
Log:
Fixed the nlags issue

Modified: pkg/R/eventstudy.R
===================================================================
--- pkg/R/eventstudy.R	2014-05-16 06:36:20 UTC (rev 358)
+++ pkg/R/eventstudy.R	2014-05-16 10:08:22 UTC (rev 359)
@@ -26,16 +26,18 @@
       stop("firm.returns should be a zoo series with at least one column. Use '[' with 'drop = FALSE'.")
   }
   firmNames <- colnames(firm.returns)
+  ## Extracting elipsis values
+  extra.var <- list(...)
+  cat("I am here:", extra.var$nlags, "\n")
 
 ### Run models
   ## AMM
   if (type == "lmAMM") {
     ## AMM residual to time series
-    timeseriesAMM <- function(firm.returns, X, verbose = FALSE, nlags = 1) {
+    timeseriesAMM <- function(firm.returns, X, verbose = FALSE) {
       tmp <- resid(lmAMM(firm.returns = firm.returns,
                          X = X,
-                         nlags = nlags,
-                         verbose = FALSE))
+                         verbose = FALSE, nlags = extra.var$nlags))
       tmp.res <- zoo(x = tmp, order.by = as.Date(names(tmp)))
     }
     ## Estimating AMM regressors
@@ -44,8 +46,8 @@
       ## One firm
       outputModel <- timeseriesAMM(firm.returns = firm.returns,
                                    X = regressors,
-                                   verbose = FALSE,
-                                   nlags = 1)
+                                   verbose = FALSE)
+                                   
     } else {
       ## More than one firm
                                         # Extracting and merging
@@ -53,8 +55,8 @@
                           {
                             timeseriesAMM(firm.returns = firm.returns[,y],
                                           X = regressors,
-                                          verbose = FALSE,
-                                          nlags = 1)
+                                          verbose = FALSE)
+                                          
                           })
       names(tmp.resid) <- colnames(firm.returns)
       outputModel <- do.call(merge.zoo, tmp.resid)

Modified: pkg/man/eventstudy.Rd
===================================================================
--- pkg/man/eventstudy.Rd	2014-05-16 06:36:20 UTC (rev 358)
+++ pkg/man/eventstudy.Rd	2014-05-16 10:08:22 UTC (rev 359)
@@ -264,7 +264,7 @@
                                                  # model arguments
                  market.returns = OtherReturns[, "NiftyIndex"],
                  others = OtherReturns[, c("USDINR", "CallMoneyRate")],
-                 market.returns.purge = TRUE
+                 market.returns.purge = TRUE, nlags = 1
                  )
 str(es)
 plot(es)

Modified: pkg/vignettes/eventstudies.Rnw
===================================================================
--- pkg/vignettes/eventstudies.Rnw	2014-05-16 06:36:20 UTC (rev 358)
+++ pkg/vignettes/eventstudies.Rnw	2014-05-16 10:08:22 UTC (rev 359)
@@ -19,8 +19,8 @@
 
 \maketitle
 
-\begin{abstract}
-\end{abstract}
+% \begin{abstract}
+% \end{abstract}
 \SweaveOpts{engine=R,pdf=TRUE}
 
 \section{The standard event study in finance}