This gist provides a summary of my accomplishements during the development of the EAPR R package during GSoC 2019 as well as plans for future development. Please follow this link to the package for more detail on the package, including the motivation, guide for starting out, and how to contribute.
Our overarching goal for this summer was to get development of the EAPR package off the ground and running. This objective was accomplished as methods for data extraction from the Wharton Research Data Services (WRDS) database, Fama MacBeth regressions, and quantile portfolio creation were implemented during this period. Completing these methods is an important step towards supporting reproducible research in the empirical asset pricing subfield of financial research.
Naturally, there will be some challenges when doing something for the first time, and this was no exception for me. Throughout the development of my fi