[Gmm-commits] r5 - in pkg/gmm: . R inst/doc man

noreply at r-forge.r-project.org noreply at r-forge.r-project.org
Thu Dec 3 04:14:39 CET 2009 

Author: chaussep
Date: 2009-12-03 04:14:37 +0100 (Thu, 03 Dec 2009)
New Revision: 5

Modified:
   pkg/gmm/DESCRIPTION
   pkg/gmm/NAMESPACE
   pkg/gmm/R/gel.R
   pkg/gmm/R/gmm.R
   pkg/gmm/inst/doc/gmm_with_R.pdf
   pkg/gmm/man/Finance.Rd
   pkg/gmm/man/HAC.Rd
   pkg/gmm/man/charStable.Rd
   pkg/gmm/man/gel.Rd
   pkg/gmm/man/gmm.Rd
   pkg/gmm/man/rho.Rd
   pkg/gmm/man/weightsAndrews2.Rd
Log:
Modification of manuals and renamed functions with underscores



Modified: pkg/gmm/DESCRIPTION
===================================================================
--- pkg/gmm/DESCRIPTION	2009-09-03 21:15:09 UTC (rev 4)
+++ pkg/gmm/DESCRIPTION	2009-12-03 03:14:37 UTC (rev 5)
@@ -1,6 +1,6 @@
 Package: gmm
-Version: 1.1-1
-Date: 2009-09-03
+Version: 1.1-2
+Date: 2009-12-01
 Title: Generalized Method of Moments and Generalized Empirical Likelihood
 Author: Pierre Chausse <pierre.chausse at uqam.ca>
 Maintainer: Pierre Chausse <pierre.chausse at uqam.ca>

Modified: pkg/gmm/NAMESPACE
===================================================================
--- pkg/gmm/NAMESPACE	2009-09-03 21:15:09 UTC (rev 4)
+++ pkg/gmm/NAMESPACE	2009-12-03 03:14:37 UTC (rev 5)
@@ -1,6 +1,6 @@
 Import(stats)
 
-export(HAC,gmm,weightsAndrews2,bwAndrews2,summary.gmm,rho,smooth_g,get_dat,bwNeweyWest2,summary.gel,get_lamb,gel,
+export(HAC,gmm,weightsAndrews2,bwAndrews2,summary.gmm,rho,smoothG,getDat,bwNeweyWest2,summary.gel,getLamb,gel,
 	print.gmm,coef.gmm,vcov.gmm,print.summary.gmm, confint.gel, print.gel, print.summary.gel, vcov.gel, coef.gel, fitted.gmm, 
 	residuals.gmm, fitted.gel, residuals.gel, plot.gmm, plot.gel,formula.gmm, formula.gel, charStable)
  

Modified: pkg/gmm/R/gel.R
===================================================================
--- pkg/gmm/R/gel.R	2009-09-03 21:15:09 UTC (rev 4)
+++ pkg/gmm/R/gel.R	2009-12-03 03:14:37 UTC (rev 5)
@@ -68,7 +68,7 @@
 	return(rhom)
 	}
 
-get_lamb <- function(g,tet,x,type=c('EL','ET','CUE'),tol_lam=1e-12,maxiterlam=1000,tol_obj=1e-7)
+getLamb <- function(g,tet,x,type=c('EL','ET','CUE'),tol_lam=1e-12,maxiterlam=1000,tol_obj=1e-7)
 	{
 	type <- match.arg(type)	
 	gt <- g(tet,x)
@@ -136,6 +136,41 @@
 	return(z)
 	}
 
+smoothG <- function (x, bw = bwAndrews2, prewhite = 1, ar.method = "ols",weights=weightsAndrews2,
+			kernel=c("Bartlett","Parzen","Truncated","Tukey-Hanning"), approx = c("AR(1)","ARMA(1,1)"),
+			tol = 1e-7) 
+	{
+	kernel <- match.arg(kernel)
+	approx <- match.arg(approx)
+		
+	n <- nrow(x)
+	if (is.function(weights))
+		{
+			w <- weights(x, bw = bw, kernel = kernel,  
+			prewhite = prewhite, ar.method = ar.method, tol = tol, 
+			verbose = FALSE, approx = approx)
+		}
+		else
+			w <- weights
+
+
+	rt <- length(w)
+	if (rt >= 2)
+		{
+		w <- c(w[rt:2],w)
+		w <- w / sum(w)
+		rt <- rt-1
+		sgt <- function(t) crossprod(x[(t-rt):(t+rt),],w)
+		x[(rt+1):(n-rt),] <- t(sapply((rt+1):(n-rt),sgt))
+		sx <- list("smoothx"=x,"kern_weights"=w)
+		return(sx)		
+		}
+	else
+		sx <- list("smoothx"=x,"kern_weights"=1)
+		return(sx)		
+	}
+
+
 gel <- function(g,x,tet0,gradv=NULL,smooth=FALSE,type=c("EL","ET","CUE","ETEL"), vcov=c("HAC","iid"), kernel = c("Bartlett", "Parzen", 
   		"Truncated", "Tukey-Hanning"), bw=bwAndrews2, approx = c("AR(1)", 
     		"ARMA(1,1)"), prewhite = 1, ar.method = "ols", tol_weights = 1e-7, tol_lam=1e-9, tol_obj = 1e-9, 
@@ -168,7 +203,7 @@
 	if (is(g,"formula"))
 		{
 		typeg=1
-		dat <- get_dat(g,x)
+		dat <- getDat(g,x)
 		x <- dat$x
 		
 		g <- function(tet,x,ny=dat$ny,nh=dat$nh,k=dat$k)
@@ -209,7 +244,7 @@
 		sg <- function(thet,x)
 			{
 			gf <- g1(thet,x)
-			gt <- smooth_g(gf, weights=w)$smoothx 
+			gt <- smoothG(gf, weights=w)$smoothx 
 			return(gt)
 			}
 		g <- sg
@@ -219,7 +254,7 @@
 		{
 		if (optlam=="iter")
 			{
-			lamblist <- get_lamb(g,tet,x,type=typel,tol_lam=tol_lam,maxiterlam=maxiterlam,tol_obj=tol_obj)
+			lamblist <- getLamb(g,tet,x,type=typel,tol_lam=tol_lam,maxiterlam=maxiterlam,tol_obj=tol_obj)
 			lamb <- lamblist$lambda
 			gt <- g(tet,x)
 			pt <- -rho(gt,lamb,type=typet,derive=1)$rhomat/nrow(gt)
@@ -276,7 +311,7 @@
 
 	if (optlam=="iter")
 		{
-		rlamb <- get_lamb(g,res$par,x,type=typel,tol_lam=tol_lam,maxiterlam=maxiterlam,tol_obj=tol_obj)
+		rlamb <- getLamb(g,res$par,x,type=typel,tol_lam=tol_lam,maxiterlam=maxiterlam,tol_obj=tol_obj)
 		z <- list(coefficients=res$par,lambda=rlamb$lam,conv_lambda=rlamb$conv_mes,conv_par=res$convergence)
 		z$foc_lambda <- rlamb$obj
 		}

Modified: pkg/gmm/R/gmm.R
===================================================================
--- pkg/gmm/R/gmm.R	2009-09-03 21:15:09 UTC (rev 4)
+++ pkg/gmm/R/gmm.R	2009-12-03 03:14:37 UTC (rev 5)
@@ -25,7 +25,7 @@
 	if (is(g,"formula"))
 		{
 		typeg=1
-		dat <- get_dat(g,x)
+		dat <- getDat(g,x)
 		x <- dat$x
 		g <- function(tet,x,ny=dat$ny,nh=dat$nh,k=dat$k)
 			{
@@ -198,7 +198,7 @@
 		}
 	if (type=="cue")
 		{
-		obj_cue <- function(thet)
+		objCue <- function(thet)
 			{
 			gt <- g(thet,x)
 			gbar <- as.vector(colMeans(gt))
@@ -214,15 +214,15 @@
 			if (is.null(t0))
 				t0 <- tetlin(x,diag(rep(1,q)))$par
 			if (optfct == "optim")
-				res2 <- optim(t0,obj_cue, ...)
+				res2 <- optim(t0,objCue, ...)
 			if (optfct == "nlminb")
 				{
-				res2 <- nlminb(t0,obj_cue, ...)
+				res2 <- nlminb(t0,objCue, ...)
 				res2$value <- res2$objective
 				}
 			if (optfct == "optimize")
 				{
-				res2 <- optimize(obj_cue,t0, ...)
+				res2 <- optimize(objCue,t0, ...)
 				res2$par <- res2$minimum
 				res2$value <- res2$objective
 				}
@@ -230,15 +230,15 @@
 		else
 			{
 			if (optfct == "optim")
-				res2 <- optim(t0,obj_cue, ...)
+				res2 <- optim(t0,objCue, ...)
 			if (optfct == "nlminb")
 				{
-				res2 <- nlminb(t0,obj_cue, ...)
+				res2 <- nlminb(t0,objCue, ...)
 				res2$value <- res2$objective
 				}
 			if (optfct == "optimize")
 				{
-				res2 <- optimize(obj_cue,t0, ...)
+				res2 <- optimize(objCue,t0, ...)
 				res2$par <- res2$minimum
 				res2$value <- res2$objective
 				}	
@@ -379,10 +379,44 @@
 z
 }
 
-formula.gmm <- function(x, ...)
+getDat <- function (formula,h) 
 {
-    if(is.null(x$terms))
-	stop("The gmm object was not created by a formula")
-    else
-	formula(x$terms)
+	cl <- match.call()
+	mf <- match.call(expand.dots = FALSE)
+	m <- match(c("formula", "data"), names(mf), 0L)
+	mf <- mf[c(1L, m)]
+	mf$drop.unused.levels <- TRUE
+	mf[[1L]] <- as.name("model.frame")
+	mf <- eval(mf, parent.frame())
+	mt <- attr(mf, "terms")
+	if (!is.matrix(h))
+		h <- cbind(rep(1,length(h)),h)
+	else	
+		h <- cbind(rep(1,nrow(h)),h)
+	colnames(h) <- c("h.(Intercept)",paste("h",1:(ncol(h)-1),sep=""))
+	y <- as.matrix(model.response(mf, "numeric"))
+	xt <- as.matrix(model.matrix(mt, mf, NULL))
+	if (attr(mt,"intercept")==0)
+		{
+		h <- as.matrix(h[,2:ncol(h)])
+		}
+	ny <- ncol(y)
+	k <- ncol(xt)
+	nh <- ncol(h)
+	if (nrow(y) != nrow(xt) | nrow(xt) != nrow(h) | nrow(y)!=nrow(h))
+		stop("The number of observations of X, Y and H must be the same")
+	if (nh<k)
+		stop("The number of moment conditions must be at least equal to the number of coefficients to estimate")
+	if (is.null(colnames(y)))
+		{
+		if (ny>1) 
+			colnames(y) <- paste("y",1:ncol(y),sep="")
+		if (ny == 1) 
+			colnames(y) <- "y"
+		}
+	x <- cbind(y,xt,h)
+	colnames(x)<-c(colnames(y),colnames(xt),colnames(h))
+	return(list(x=x,nh=nh,ny=ny,k=k,mf=mf,mt=mt,cl=cl))
 }
+
+

Modified: pkg/gmm/inst/doc/gmm_with_R.pdf
===================================================================
--- pkg/gmm/inst/doc/gmm_with_R.pdf	2009-09-03 21:15:09 UTC (rev 4)
+++ pkg/gmm/inst/doc/gmm_with_R.pdf	2009-12-03 03:14:37 UTC (rev 5)
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 trailer
 << /Size 550
 /Root 548 0 R
 /Info 549 0 R
-/ID [<E9211951A0F53B94EE40069AEC3AAE4F> <E9211951A0F53B94EE40069AEC3AAE4F>] >>
+/ID [<F878F5A28A80A2F6D5F1584E99CD5166> <F878F5A28A80A2F6D5F1584E99CD5166>] >>
 startxref
-420094
+420105
 %%EOF

Modified: pkg/gmm/man/Finance.Rd
===================================================================
--- pkg/gmm/man/Finance.Rd	2009-09-03 21:15:09 UTC (rev 4)
+++ pkg/gmm/man/Finance.Rd	2009-12-03 03:14:37 UTC (rev 5)
@@ -7,32 +7,32 @@
 }
 \usage{data(Finance)}
 \format{
-A data frame containing 24 time series. Dates are reported as rownames(). In the following description, compagny symboles are used.
+A data frame containing 24 time series. Dates are reported as rownames(). In the following description, company symboles are used.
 \describe{
-\item{WMK}{Returns of WMK} 
-\item{UIS}{Returns of UIS} 
-\item{ORB}{Returns of ORB} 
-\item{MAT}{Returns of MAT} 
-\item{ABAX}{Returns of ABAX} 
-\item{T}{Returns of T} 
-\item{EMR}{Returns of EMR} 
-\item{JCS}{Returns of JCS} 
-\item{VOXX}{Returns of VOXX}
-\item{ZOOM}{Returns of ZOOM} 
-\item{TDW}{Returns of TDW} 
-\item{ROG}{Returns of ROG} 
-\item{GGG}{Returns of GGG} 
-\item{PC}{Returns of PC} 
-\item{GCO}{Returns of GCO} 
-\item{EBF}{Returns of EBF} 
-\item{F}{Returns of F} 
-\item{FNM}{Returns of FNM} 
-\item{NHP}{Returns of NHP} 
-\item{AA}{Returns of AA} 
-\item{rf}{Risk-free rate,}
-\item{rm}{Return of the market portfolio of Fama-French,}
-\item{hml}{Factor High-Minus-Low of Fama-French,}
-\item{smb}{Factor Small-Minus-Big of Fama-French.}
+\item{WMK}{Returns of WEIS MARKETS INC} 
+\item{UIS}{Returns of UNISYS CP NEW} 
+\item{ORB}{Returns of ORBITAL SCIENCES CP} 
+\item{MAT}{Returns of Mattel, Inc.} 
+\item{ABAX}{Returns of ABAXIS, Inc.} 
+\item{T}{Returns of AT&T INC.} 
+\item{EMR}{Returns of EMERSON ELEC CO} 
+\item{JCS}{Returns of Communications Systems Inc.} 
+\item{VOXX}{Returns of Audiovox Corp.}
+\item{ZOOM}{Returns of ZOOM Technologies Inc.} 
+\item{TDW}{Returns of TIDEWATER INC} 
+\item{ROG}{Returns of Rogers Corporation} 
+\item{GGG}{Returns of Graco Inc.} 
+\item{PC}{Returns of Panasonic Corporation} 
+\item{GCO}{Returns of Genesco Inc.} 
+\item{EBF}{Returns of ENNIS, INC} 
+\item{F}{Returns of FORD MOTOR CO} 
+\item{FNM}{Returns of FANNIE MAE} 
+\item{NHP}{Returns of NATIONWIDE HLTH PROP} 
+\item{AA}{Returns of ALCOA INC} 
+\item{rf}{Risk-free rate of Fama-French}
+\item{rm}{Return of the market portfolio of Fama-French}
+\item{hml}{Factor High-Minus-Low of Fama-French}
+\item{smb}{Factor Small-Minus-Big of Fama-French}
 }
 }
 

Modified: pkg/gmm/man/HAC.Rd
===================================================================
--- pkg/gmm/man/HAC.Rd	2009-09-03 21:15:09 UTC (rev 4)
+++ pkg/gmm/man/HAC.Rd	2009-12-03 03:14:37 UTC (rev 5)
@@ -7,7 +7,7 @@
 \usage{
[TRUNCATED]

To get the complete diff run:
    svnlook diff /svnroot/gmm -r 5

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