search for: crsp

...y outcome will be a very big list, with 30,000 elements, each containing data frames with 14 variables and around 200 to 5000 observations (say, 64KB on average). thus, I estimate that the resulting list is 20GB. the specific code that triggers this is exposures.list <- mclapply(1:length(crsp.list.by.permno), FUN=function(i, NMO=NMO) { calcbeta.for.one.stock(crsp.list.by.permno[[i]], NMO=NMO) }, NMO=NMO, mc.cores=3 ) the release docs to 3.0.0 suggest this error should occur primarily in unusual situations....

Dear all, I want to do piecewise CAPM linear regression in R: RRiskArb−Rf = (1−δ)[αMktLow+βMktLow(RMkt−Rf)] + δ[αMkt High +βMkt High(RMkt −Rf )] where δ is a dummy variable if the excess return on the value-weighted CRSP index is above a threshold level and zero otherwise. and at the same time add the restriction: αMkt Low + βMkt Low · Threshold = αMkt High + βMkt High · Threshold to ensure continuity. But I do not know how to add this restriction in R, could you help me on this? Thanks a lot! Eunice...

...wever it only gives me one output rather than 36. In SAS i would just put in a *By statement*. I have a variable TICKER that categorize them into 36 groups. *How can I obtain all 36 output instead of just one.* ** DataMat<-read.table(file="C://Users//ssenriqu//Dropbox//Work//Risk//data//CRSP//CRPS 2 original1.csv",sep=",",dec=".",header=TRUE) require(gmm) Returns <- DataMat[1:6480,"Returns"] VWRET <- DataMat[1:6480,"VWRET"] RF <- DataMat[1:6480,"RF"] z<-as.matrix(Returns-RF) zm<-as.matrix(VWRET-RF) res <- gmm(z ~...

Hi, I'm slowly working through Tsay's "Analysis of Financial Time Series" 3rd ed. ?I'm trying to replicate Table 2.1 on p.47, which gives PACF, AIC, and BIC for the monthly simple returns of the CRSP value-weighted index. The data: http://faculty.chicagobooth.edu/ruey.tsay/teaching/fts3/m-ibm3dx2608.txt > da <- read.table("http://faculty.chicagobooth.edu/ruey.tsay/teaching/fts3/m-ibm3dx2608.txt", header = TRUE) > vw <- da[, 3] I can replicate the PACF calculations. >...

...to get an error message that appears when the share is not accessible. The log is available here (I link it because of size and I didn't want to trim it as I don't exactly know what's important). Is there anyone who can help? Is more info needed? Thanks -- Jan Odv??ka <http://www.crsp.cz/>

I have data that looks like this: > df1 group id 1 red A 2 red B 3 red C 4 blue D 5 blue E 6 blue F I want a list of the groups containing vectors with the ids. I am avoiding subset(), as it is only recommended for interactive use. Here's what I have so far: df1 <- data.frame(group=c("red", "red", "red", "blue",