[Eventstudies-commits] r399 - pkg/R

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

Author: chiraganand
Date: 2014-11-30 08:24:49 +0100 (Sun, 30 Nov 2014)
New Revision: 399

Modified:
   pkg/R/eventstudy.R
Log:
Do na.locf on the data before sending for lmAMM, since it created an invalid zoo object. Did the same for other models to keep things consistent. Will be removed in the future.

Modified: pkg/R/eventstudy.R
===================================================================
--- pkg/R/eventstudy.R	2014-11-28 11:27:18 UTC (rev 398)
+++ pkg/R/eventstudy.R	2014-11-30 07:24:49 UTC (rev 399)
@@ -74,8 +74,8 @@
         args.makeX <- append(args.makeX, model.args[names.args.makeX])
 
         names.nonfirmreturns <- colnames(firm$z.e)[!colnames(firm$z.e) %in% c("firm.returns", "market.returns")]
-        args.makeX$market.returns <- firm$z.e[estimation.period, "market.returns"]
-        args.makeX$others <- firm$z.e[estimation.period, names.nonfirmreturns]
+        args.makeX$market.returns <- na.locf(firm$z.e[estimation.period, "market.returns"]) #XXX REMOVE
+        args.makeX$others <- na.locf(firm$z.e[estimation.period, names.nonfirmreturns])
         regressors <- do.call(makeX, args.makeX)
 
         args.lmAMM <- list()
@@ -83,7 +83,7 @@
             args.lmAMM$nlags <- model.args$nlag.lmAMM
         }
         args.lmAMM <- append(args.lmAMM, model.args[names(model.args) %in% formalArgs(lmAMM)])
-        args.lmAMM$firm.returns <- firm$z.e[estimation.period, "firm.returns"]
+        args.lmAMM$firm.returns <- na.locf(firm$z.e[estimation.period, "firm.returns"]) #XXX REMOVE na.locf(), its just done to get a regular residuals series.
         args.lmAMM$X <- regressors
 
         model <- do.call(lmAMM, args.lmAMM)
@@ -142,8 +142,8 @@
           return(NULL)
         }
         estimation.period <- attributes(firm)[["estimation.period"]]
-        model <- marketModel(firm$z.e[estimation.period, "firm.returns"],
-                             firm$z.e[estimation.period, "market.returns"],
+        model <- marketModel(na.locf(firm$z.e[estimation.period, "firm.returns"]), #XXX: remove na.locf
+                             na.locf(firm$z.e[estimation.period, "market.returns"]), #XXX: remove na.locf
                              residuals = FALSE)
 
           abnormal.returns <- firm$z.e[event.period, "firm.returns"] - model$coefficients["(Intercept)"] -
@@ -194,8 +194,8 @@
           return(NULL)
         }
         estimation.period <- attributes(firm)[["estimation.period"]]
-        model <- excessReturn(firm$z.e[event.period, "firm.returns"],
-                              firm$z.e[event.period, "market.returns"])
+        model <- excessReturn(na.locf(firm$z.e[event.period, "firm.returns"]), #XXX: remove na.locf
+                              na.locf(firm$z.e[event.period, "market.returns"])) #XXX: remove na.locf
 
         abnormal.returns <- model
         return(abnormal.returns)