[Returnanalytics-commits] r3995 - / pkg/FactorAnalytics pkg/FactorAnalytics/R pkg/FactorAnalytics/man
noreply at r-forge.r-project.org
noreply at r-forge.r-project.org
Wed Sep 16 15:22:45 CEST 2015
Author: pragnya
Date: 2015-09-16 15:22:44 +0200 (Wed, 16 Sep 2015)
New Revision: 3995
Modified:
pkg/FactorAnalytics/DESCRIPTION
pkg/FactorAnalytics/NAMESPACE
pkg/FactorAnalytics/R/fitSfm.R
pkg/FactorAnalytics/R/fitTsfm.R
pkg/FactorAnalytics/R/zzz.R
pkg/FactorAnalytics/man/Stock.df.Rd
returnanalytics.Rproj
Log:
Add fitFfm for fitting fundamental factor models
Modified: pkg/FactorAnalytics/DESCRIPTION
===================================================================
--- pkg/FactorAnalytics/DESCRIPTION 2015-09-15 06:23:49 UTC (rev 3994)
+++ pkg/FactorAnalytics/DESCRIPTION 2015-09-16 13:22:44 UTC (rev 3995)
@@ -1,8 +1,8 @@
Package: factorAnalytics
Type: Package
Title: Factor Analytics
-Version: 2.0.26
-Date: 2015-09-14
+Version: 2.0.27
+Date: 2015-09-16
Author: Eric Zivot, Sangeetha Srinivasan and Yi-An Chen
Maintainer: Sangeetha Srinivasan <sangee at uw.edu>
Description: Linear factor model fitting for asset returns (three major types-
@@ -15,11 +15,13 @@
Depends:
R (>= 3.0.0),
xts (>= 0.9),
- foreach (>= 1.4)
+ foreach (>= 1.4),
+ rrcov
Imports:
PerformanceAnalytics(>= 1.4),
zoo,
- corrplot,
+ corrplot,
+ robustbase,
robust,
leaps,
lars,
Modified: pkg/FactorAnalytics/NAMESPACE
===================================================================
--- pkg/FactorAnalytics/NAMESPACE 2015-09-15 06:23:49 UTC (rev 3994)
+++ pkg/FactorAnalytics/NAMESPACE 2015-09-16 13:22:44 UTC (rev 3995)
@@ -1,7 +1,9 @@
# Generated by roxygen2 (4.1.1): do not edit by hand
+S3method(coef,ffm)
S3method(coef,sfm)
S3method(coef,tsfm)
+S3method(fitted,ffm)
S3method(fitted,sfm)
S3method(fitted,tsfm)
S3method(fmCov,sfm)
@@ -26,6 +28,7 @@
S3method(print,summary.tsfmUpDn)
S3method(print,tsfm)
S3method(print,tsfmUpDn)
+S3method(residuals,ffm)
S3method(residuals,sfm)
S3method(residuals,tsfm)
S3method(summary,pafm)
@@ -33,6 +36,7 @@
S3method(summary,tsfm)
S3method(summary,tsfmUpDn)
export(dCornishFisher)
+export(fitFfm)
export(fitSfm)
export(fitTsfm)
export(fitTsfmLagBeta)
@@ -50,6 +54,7 @@
export(qCornishFisher)
export(rCornishFisher)
import(foreach)
+import(rrcov)
import(xts)
import(zoo)
importFrom(MASS,ginv)
@@ -78,8 +83,12 @@
importFrom(parallel,detectCores)
importFrom(parallel,makeCluster)
importFrom(parallel,stopCluster)
+importFrom(robust,covClassic)
+importFrom(robust,covRob)
importFrom(robust,lmRob)
importFrom(robust,step.lmRob)
+importFrom(robustbase,covOGK)
+importFrom(robustbase,scaleTau2)
importFrom(sandwich,vcovHAC.default)
importFrom(sandwich,vcovHC.default)
importFrom(sn,dst)
Modified: pkg/FactorAnalytics/R/fitSfm.R
===================================================================
--- pkg/FactorAnalytics/R/fitSfm.R 2015-09-15 06:23:49 UTC (rev 3994)
+++ pkg/FactorAnalytics/R/fitSfm.R 2015-09-16 13:22:44 UTC (rev 3995)
@@ -155,7 +155,7 @@
corr=FALSE, ...) {
# record the call as an element to be returned
- call <- match.call()
+ this.call <- match.call()
# check input data type and coerce to xts; remove NAs
R.xts <- na.omit(checkData(data, method="xts"))
@@ -221,7 +221,7 @@
}
# create list of return values.
- input <- list(call=call, data=R.xts, asset.names=colnames(R.xts))
+ input <- list(call=this.call, data=R.xts, asset.names=colnames(R.xts))
result <- c(result, input)
class(result) <- "sfm"
return(result)
Modified: pkg/FactorAnalytics/R/fitTsfm.R
===================================================================
--- pkg/FactorAnalytics/R/fitTsfm.R 2015-09-15 06:23:49 UTC (rev 3994)
+++ pkg/FactorAnalytics/R/fitTsfm.R 2015-09-16 13:22:44 UTC (rev 3995)
@@ -155,7 +155,7 @@
control=fitTsfm.control(...), ...) {
# record the call as an element to be returned
- call <- match.call()
+ this.call <- match.call()
# set defaults and check input vailidity
fit.method = fit.method[1]
@@ -230,7 +230,7 @@
} else if (variable.selection == "lars") {
result.lars <- SelectLars(dat.xts, asset.names, factor.names, lars.args,
cv.lars.args, lars.criterion)
- input <- list(call=call, data=dat.xts, asset.names=asset.names,
+ input <- list(call=this.call, data=dat.xts, asset.names=asset.names,
factor.names=factor.names, mkt.name=mkt.name, fit.method=NULL,
variable.selection=variable.selection)
result <- c(result.lars, input)
@@ -251,10 +251,14 @@
rownames(beta) <- asset.names
# extract r2 and residual sd
r2 <- sapply(reg.list, function(x) summary(x)$r.squared)
- resid.sd <- sapply(reg.list, function(x) summary(x)$sigma)
+ if (fit.method=="DLS") {
+ resid.sd <- sapply(reg.list, function(x) sd(residuals(x)))
+ } else {
+ resid.sd <- sapply(reg.list, function(x) summary(x)$sigma)
+ }
# create list of return values.
result <- list(asset.fit=reg.list, alpha=alpha, beta=beta, r2=r2,
- resid.sd=resid.sd, call=call, data=dat.xts,
+ resid.sd=resid.sd, call=this.call, data=dat.xts,
asset.names=asset.names, factor.names=factor.names,
mkt.name=mkt.name, fit.method=fit.method,
variable.selection=variable.selection)
Modified: pkg/FactorAnalytics/R/zzz.R
===================================================================
--- pkg/FactorAnalytics/R/zzz.R 2015-09-15 06:23:49 UTC (rev 3994)
+++ pkg/FactorAnalytics/R/zzz.R 2015-09-16 13:22:44 UTC (rev 3995)
@@ -1,15 +1,17 @@
#' @import xts
#' @import zoo
#' @import foreach
+#' @import rrcov
#' @importFrom PerformanceAnalytics checkData Return.cumulative
-#' @importFrom robust lmRob step.lmRob
+#' @importFrom robust lmRob step.lmRob covRob covClassic
#' @importFrom leaps regsubsets
#' @importFrom lars lars cv.lars
#' @importFrom lmtest coeftest.default
#' @importFrom sandwich vcovHC.default vcovHAC.default
#' @importFrom MASS ginv
#' @importFrom tseries tsbootstrap
+#' @importFrom robustbase scaleTau2 covOGK
#' @importFrom PerformanceAnalytics chart.TimeSeries chart.ACFplus
#' chart.Histogram chart.QQPlot chart.Correlation
Modified: pkg/FactorAnalytics/man/Stock.df.Rd
===================================================================
--- pkg/FactorAnalytics/man/Stock.df.Rd 2015-09-15 06:23:49 UTC (rev 3994)
+++ pkg/FactorAnalytics/man/Stock.df.Rd 2015-09-16 13:22:44 UTC (rev 3995)
@@ -10,12 +10,18 @@
Date range: 1996-02-29 through 2003-12-31
}
\details{
- ID variables: DATE, TICKER
+ Date variable: DATE
- Continuous variables: RETURN, PRICE, VOLUME, SHARES.OUT, MARKET.EQUITY,
+ Stock ID: TICKER
+
+ Stock return and price variables: RETURN, PRICE
+
+ Numeric exposures: VOLUME, SHARES.OUT, MARKET.EQUITY,
LTDEBT, NET.SALES, COMMON.EQUITY, NET.INCOME, STOCKHOLDERS.EQUITY,
- LOG.MARKETCAP, LOG.PRICE, BOOK2MARKET
+ LOG.MARKETCAP, LOG.PRICE, BOOK2MARKET
+ Note: Numeric exposures are standardized as z-scores.
+
Categorical variables: GICS, GICS.INDUSTRY, GICS.SECTOR
}
\usage{
Modified: returnanalytics.Rproj
===================================================================
--- returnanalytics.Rproj 2015-09-15 06:23:49 UTC (rev 3994)
+++ returnanalytics.Rproj 2015-09-16 13:22:44 UTC (rev 3995)
@@ -17,4 +17,4 @@
PackageInstallArgs: --no-multiarch --with-keep.source
PackageBuildArgs: --resave-data
PackageBuildBinaryArgs: --data-compress
-PackageRoxygenize: rd,namespace
+PackageRoxygenize: rd,namespace,vignette
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