similar to: fama-macbeth

I have a .csv table named mailing.csv as below. It consist a receiver, subject and sender. Receiver subject sender 1 Adrian Cole RE: [WHIRR-117] Composable services Tom White 2 Adrian Cole RE: [WHIRR-117] Composable services Tom White 3 Adrian Cole RE: [WHIRR-117] Composable services Adrian Cole 4 Adrian Cole RE: [WHIRR-117]

Hi all, I am also looking for interesting statistical experiments about testing and estimating CAPM, APT, Fama models, etc. using R using financial series data... please give me some pointers... I have been searching the R archives for the past a few hours and I vaguely got to know that there are programs do these interesting statistical things, but I just could not find where are they... I have

Hi mates, I have a problem. I am new to R and want to conduct the Fama/French asset pricing test. As I am from Germany, I cannot use the already computed factors from French's website, but need to compute them myself. So I have to sort a number of stocks into different portfolios using one factor, then subdivide these portfolios into several more using another factor, then compute portfolio

Hi, I have a table with data, as below: dput(table): structure(list(Adrian.Cole = c(0L, 0L, 0L, 0L, 0L, 0L), Alison.Wong = c(0L, 0L, 0L, 0L, 0L, 0L), Andrei.Savu = c(0L, 0L, 0L, 0L, 0L, 0L), Bruno.Dumon = c(0L, 0L, 0L, 0L, 0L, 0L), Edward.J..Yoon = c(0L, 0L, 0L, 0L, 0L, 0L), Eugene.Koontz = c(0L, 0L, 0L, 0L, 0L, 0L), Jakob.Homan = c(0L, 0L, 0L, 0L, 0L, 0L), Kelvin.Kakugawa = c(0L, 0L,

Hola a tod en s, tengo una duda que se relaciona con alternativas al uso de variables globales. En principio, si se quiere usar un generador de v.a con la librería Runuran sólo se permite definir las funciones de densidad (o el núcleo de las mismas) con funciones con un único argumento en (x). Sin embargo, necesito pasar a las funciones más argumentos que van cambiando en las iteraciones de

Hi, I have a script below. dat <- read.table(file="pt.csv", header=T, sep=",", row.names=1, col.names=1) dat for(which_col in seq_len(ncol(dat))) { subset_data <- dat[,which_col:ncol(dat)] file_name <- sprintf('%s.csv', colnames(dat)[which_col]) write.csv(subset_data, file_name) message(sprintf('Saving %s', file_name)) }

Dear Gavin, This is really great, thank you! I created some long loops to get rid of extra months at the beginning and the end of my data but your code is great for putting it then together quarterly. thanks again, Denise On Mon, 2008-08-18 at 14:31 +0100, Denise Xifara wrote: > Thank you very much Stephen, but how will aggregate deal with months that > fall outside annual quarters? eg,

Dear All and Mark, Given a dataset that I have called dat, I was hoping to speed up the following loop: for(i in 1:835353){ for(j in 1:86){ if (is.na(dat[i,j])==TRUE){dat[i,j]<-0 }}} Actually I am also having a memory problem. I get the following: Error: cannot allocate vector of size 3.2 Mb In addition: Warning messages: 1: In dat[i, j] <- 0 : Reached total allocation of 1535Mb: see

Dear R users, I have a dataframe where column is has countries, column 2 is dates (monthly) for each countrly, the next 10 columns are my factors where I have measurements for each country and for each date. I have attached a sample of the data in csv format with the data for 3 countries. I would like to convert my monthly data into quarterly data, finding the mean over 3 month periods for

Hi I am carrying out some logit regressions and want to (a) make sure I'm taking the right approach and (b) work out how to carry out some additional analysis. So, to carry out a logit regression where the dependent variable is a factor db, I use something like: res1_l <- glm(formula = db ~ y1 + + y5, family = binomial(link = "logit")) summary(res1_l) ...which is, I hope

Hi. I am running regressions of several dependent variables using the same set of independent variables. The independent variable values are complete, but each dependent variable has some missing values for some observations; by default, lm(y1~x) will carry out the regressions using only the observations without missing values of y1. If I do lm(cbind(y1,y2)~x), the default will be to use

[ Registration for R/Finance 2010 is going strong: after only ten days of registrations one tutorial is already at 65% of capacity, and two others are approaching the 50% mark. Tutorials are capped at fourty participants each, the conference itself may be capped at three hundred registrations. Conference details are provided below. ] R/Finance 2010: Applied Finance

Hi there, I realize that this is a bit of a strange question, but here goes. In SAS, one can use the REG procedure to carry out a least-squares regression analysis. By specifying the R-SQUARE option in the SELECTION command, the program carries out regressions for every combination of every independant variable against the dependant variable. This is useful in smaller datasets, though difficult

R/Finance 2010: Applied Finance with R April 16 & 17, Chicago, IL, US www.RinFinance.com <http://www.RinFinance.com> The second annual R/Finance conference for applied finance using R, the premier free software system for statistical computation and graphics, will be held this spring in Chicago, IL, USA on Friday April 16 and Saturday April 17, 2010. Registration is still open and

Dear all, I have the following data in excel: day1 y 1 2 3 2 3 x1 0.2 0.3 0.4 0.3 0.2 x2 7 3.4 2 8 6 day2 y 2 4 3 2 2 x1 0.4 0.5 0.3 0.3 0.2 x2 7 8 9.1 6 5 I have the following problems: first of all, when I ask R to read the file (with the package xlsReadWrite and the command read.xls) it has a problem with the fact that the left most corner is labelled the same way, so in order for it

Dear R users, I have run into a very unexpected problem and I was hoping someone could explain it to me. I have a 650 000 by 12 matrix and I want to perform a rolling regression on it, width 36 or 48, using the package performanceAnalytics. ie: rol.lm<-rollingRegression(lm(y~x1+x2+x3+x4+x5),data=denise,width=36) The regressions occur without a problem and I store my output (coefficients,

----- Mensagem Original -----=20 Eu boicotaria estas empresas s=F3 pelo fato de financiarem os enjoativos e = rancentos Cassetas, mas me surpreendi ao descobrir que tantos produtos que = eu costumo comprar s=E3o transg=EAnicos. Fui conferir no site do greenpeace= e =E9 verdade!!!!!!!!!!!!! Boicote neles! ----- Original Message -----=20 C A M P A N H A=20 N A T A L S E M B A I X A R I A

Hi, this is about kicking-off regular compile-time tracking for LLVM and CLANG on the green dragon: http://lab.llvm.org:8080/green/view/Compile%20Time/ <http://lab.llvm.org:8080/green/view/Compile%20Time/>. The goal is to stay on top of compile-time issues immediately when they occur so they can be assessed rather than creeping in unnoticed. The methodology is simple: form a CTMark suite

I am hoping for some assistance with formatting a large text file which consists of a series of individual records. Each record includes specific labels/field names (a sample of 1 record (one of the longest ones) is below - at end of post. What I want to do is reformat the data, so that each individual record becomes a row (some cells will have a lot of text). For example, the column

Hey all, I am trying to work under a State Space form, but I didn't get the help exactly. Have anyone eles used this functions? I was used to work with S-PLUS, but I have some codes I need to adpt. Thanks alot, Bernardo [[alternative HTML version deleted]]