R_for_mock.pdf - listofpackages <...

Info icon This preview shows pages 1–2. Sign up to view the full content.

listofpackages <- c("plm", "foreign", "lmtest", "aod", "systemfit", "dygraphs","dplyr", "car", "sandwich","stats", "forecast") debug(utils:::unpackPkgZip) for (j in listofpackages){ if(sum(installed.packages()[, 1] == j) == 0) { install.packages(j,dependencies = TRUE,lib="C:/Program Files/R/R-3.4.1/library") } library(j, character.only = T) } dataie <- read.table("data01.csv", stringsAsFactors = F, header = T, sep = ",") dataff <- read.table("ffdata.csv", stringsAsFactors = F, header = T, sep = ",") tt <- 1956 tT <- 2000 ret15 <- ts(subset(dataff, select = PR15, date >= tt & date < tT), start = c(1956, 1), frequency = 12) retmkt <- ts(subset(dataff, select = exret_mkt, date >= tt & date < tT), start = c(1956, 1), frequency = 12) plot(ret15) plot(ret15, x = retmkt, col = 'blue', type = "p", ylab = "PR15", xlab = "MKT") #abline(reg = lm(ret15 ~ retmkt), col = "red") summary(lm(ret15 ~ 1)) summary(lm(retmkt ~ 1)) monthplot(ret15, col = "black", main = "Seasonality in the portfolio return") monthplot(retmkt, main = "Seasonality in the market return") Jan <- seasonaldummy(ret15)[, 1] summary(lm(ret15 ~ Jan + 1)) # here we include the seasonal dummy for january summary(lm(retmkt ~ Jan + 1)) capm <- lm(ret15 ~ retmkt+1) summary(capm) seasreg <- lm(ret15 ~ retmkt + Jan )
Image of page 1

Info icon This preview has intentionally blurred sections. Sign up to view the full version.

Image of page 2
This is the end of the preview. Sign up to access the rest of the document.
  • Spring '10
  • C.Favero

{[ snackBarMessage ]}

What students are saying

  • Left Quote Icon

    As a current student on this bumpy collegiate pathway, I stumbled upon Course Hero, where I can find study resources for nearly all my courses, get online help from tutors 24/7, and even share my old projects, papers, and lecture notes with other students.

    Student Picture

    Kiran Temple University Fox School of Business ‘17, Course Hero Intern

  • Left Quote Icon

    I cannot even describe how much Course Hero helped me this summer. It’s truly become something I can always rely on and help me. In the end, I was not only able to survive summer classes, but I was able to thrive thanks to Course Hero.

    Student Picture

    Dana University of Pennsylvania ‘17, Course Hero Intern

  • Left Quote Icon

    The ability to access any university’s resources through Course Hero proved invaluable in my case. I was behind on Tulane coursework and actually used UCLA’s materials to help me move forward and get everything together on time.

    Student Picture

    Jill Tulane University ‘16, Course Hero Intern