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Libraries and Functions for First Year Summer Paper (ALS Replication and Spectral Analysis Extension)
##packages for specific accruals, all in one place
library(readr)
require(sandwich)
require(lmtest)
library("data.table", lib.loc="/Library/Frameworks/R.framework/Versions/3.3/Resources/library")
library("zoo", lib.loc="/Library/Frameworks/R.framework/Versions/3.3/Resources/library")
library(lubridate)
library("stargazer", lib.loc="/Library/Frameworks/R.framework/Versions/3.3/Resources/library")
library("gmodels", lib.loc="/Library/Frameworks/R.framework/Versions/3.3/Resources/library")
library("DescTools", lib.loc="/Library/Frameworks/R.framework/Versions/3.3/Resources/library")
library("rsq", lib.loc="/Library/Frameworks/R.framework/Versions/3.3/Resources/library")
library("psych", lib.loc="/Library/Frameworks/R.framework/Versions/3.3/Resources/library")
library("flexmix", lib.loc="/Library/Frameworks/R.framework/Versions/3.3/Resources/library")
library("gtools", lib.loc="/Library/Frameworks/R.framework/Versions/3.3/Resources/library")
library("tabplot", lib.loc="/Library/Frameworks/R.framework/Versions/3.3/Resources/library")
library("ggplot2", lib.loc="/Library/Frameworks/R.framework/Versions/3.3/Resources/library")
library("hexbin", lib.loc="/Library/Frameworks/R.framework/Versions/3.3/Resources/library")
library("MASS", lib.loc="/Library/Frameworks/R.framework/Versions/3.3/Resources/library")
library("sqldf", lib.loc="/Library/Frameworks/R.framework/Versions/3.3/Resources/library")
library("RH2", lib.loc="/Library/Frameworks/R.framework/Versions/3.3/Resources/library")
library("GGally", lib.loc="/Library/Frameworks/R.framework/Versions/3.3/Resources/library")
library("roll", lib.loc="/Library/Frameworks/R.framework/Versions/3.3/Resources/library")
##define lag functions
lagged<-function(X, n) {
return(
append(rep(NA,n),head(X,length(X)-n))
)
}
lead<-function(X, n) {
return(
append(tail(X,length(X)-n),rep(NA,n))
)
}
##define delta functions
delta<-function(X,n) {
return(
X-lagged(X,n)
)
}
#inputs a vector, outputs vector winsorized at -1 and 1
winsorize<-function(x) {
x[x>1]<-1
x[x<(-1)]<-(-1)
return(x)
}
#inputs a vector, winsorizes at 1 and 99%
wins99<-function(x) {
x99<-quantile(x,.99,na.rm=T)
x01<-quantile(x,.01,na.rm=T)
x[x>x99]<-x99
x[x<x01]<-x01
return(x)
}
# R function for computing two-way cluster-robust standard errors.
# The code below was adapted by Ian Gow on May 16, 2011 using code supplied
# via Mitchell Petersen's website by Mahmood Arai, Jan 21, 2008.
#
# Apart from a little cleanup of the code, the main difference between this
# and the earlier code is in the handling of missing values. Look at the file
# cluster.test.R to see example usage. Note that care should be taken to
# do subsetting outside of the call to lm or glm, as it is difficult to recon-
# struct subsetting of this kind from the fitted model. However, the code
# does handle transformations of variables in the model (e.g., logs). Please
# report any bugs, suggestions, or errors to iandgow@gmail.com. The output has
# been tested fairly extensively against output of Mitchell Petersen's
# cluster2.ado commmand (hence implicitly against the Matlab and SAS code posted
# elsewhere here), but I have not tested the code against code for non-linear
# models, such as logit2.ado.
# See: Thompson (2006), Cameron, Gelbach and Miller (2006) and Petersen (2010).
# and Gow, Ormazabal, and Taylor (2010) for more discussion of this code
# and two-way cluster-robust standard errors.
# The arguments of the function are data, fitted model, cluster1 and cluster2
# You need to install packages `sandwich' by Thomas Lumley and Achim Zeileis and
# `lmtest' by Torsten Hothorn, Achim Zeileis, Giovanni Millo and David Mitchell.
# (For example, type install.packages("sandwich") on the R console.)
coeftest.cluster <- function(data, fm, cluster1, cluster2=NULL) {
require(sandwich)
require(lmtest)
# Calculation shared by covariance estimates
est.fun <- estfun(fm)
# est.fun <- sweep(fm$model,MARGIN=2,fm$residuals,`*`)
# Need to identify observations used in the regression (i.e.,
# non-missing) values, as the cluster vectors come from the full
# data set and may not be in the regression model.
# I use complete.cases following a suggestion from
# Francois Cocquemas <francois.cocquemas@gmail.com>
inc.obs <- complete.cases(data[,names(fm$model)])
# inc.obs <- !is.na(est.fun[,1])
# est.fun <- est.fun[inc.obs,]
# Shared data for degrees-of-freedom corrections
N <- dim(fm$model)[1]
NROW <- NROW(est.fun)
K <- fm$rank
# Calculate the sandwich covariance estimate
cov <- function(cluster) {
cluster <- factor(cluster)
# Calculate the "meat" of the sandwich estimators
u <- apply(est.fun, 2, function(x) tapply(x, cluster, sum))
meat <- crossprod(u)/N
# Calculations for degrees-of-freedom corrections, followed
# by calculation of the variance-covariance estimate.
# NOTE: NROW/N is a kluge to address the fact that sandwich uses the
# wrong number of rows (includes rows omitted from the regression).
M <- length(levels(cluster))
dfc <- M/(M-1) * (N-1)/(N-K)
dfc * NROW/N * sandwich(fm, meat=meat)
}
# Calculate the covariance matrix estimate for the first cluster.
cluster1 <- data[inc.obs,cluster1]
cov1 <- cov(cluster1)
if(is.null(cluster2)) {
# If only one cluster supplied, return single cluster
# results
return(coeftest(fm, cov1))
} else {
# Otherwise do the calculations for the second cluster
# and the "intersection" cluster.
cluster2 <- data[inc.obs,cluster2]
cluster12 <- paste(cluster1,cluster2, sep="")
# Calculate the covariance matrices for cluster2, the "intersection"
# cluster, then then put all the pieces together.
cov2 <- cov(cluster2)
cov12 <- cov(cluster12)
covMCL <- (cov1 + cov2 - cov12)
# Return the output of coeftest using two-way cluster-robust
# standard errors.
return(coeftest(fm, covMCL))
}
}
##end GOW function
#this function assigns observations to n equal size groups (quantiles)
rank_data<-function(X, n) {
cut(X,
breaks=quantile(X, probs=seq(0, 1, by=(1/n)), na.rm=T),
include.lowest= TRUE, labels=1:n)}
#extract p-value from an lm
lmp <- function (modelobject) {
if (class(modelobject) != "lm") stop("Not an object of class 'lm' ")
f <- summary(modelobject)$fstatistic
p <- pf(f[1],f[2],f[3],lower.tail=F)
attributes(p) <- NULL
return(p)
}
##compute R^2 from time series model predictions
RS <- function(x, xhat) {
return(sum((na.omit(xhat) - mean(na.omit(
x
))) ^ 2) / sum((na.omit(x) - mean(na.omit(
x
))) ^ 2))
}
pers<- function(Z)
{lm = lm(eps_adj~lag_eps_adj, data= as.data.frame(Z));
return(lm$coefficients[2])}
write.csv(FUNDA, file = "/Users/skylardeture/documents/Specific Accruals/ALSdata1.csv")
##imput ivs and dvs as matrices, use a 10 observation rolling window
rolling_reg <- function(ivs, dv) {
lm<-roll_lm(ivs,dv,10)
coef<-lm$coefficients
return(lapply(seq_len(ncol(coef)), function(i) coef[,i]))
}
rolling_regR <- function(ivs, dv) {
lm<-roll_lm(ivs,dv,10)
coef<-lm$r.squared
return(lapply(seq_len(ncol(coef)), function(i) coef[,i]))
}
########################################################################
# CREDIT: IAN GOW
# Small program to fetch and organize Fama-French industry data.
# The idea is to make a table that could be used for SQL merges.
# CREDIT: IAN GOW
########################################################################
# The URL for the data.
ff.url <- paste("http://mba.tuck.dartmouth.edu",
"pages/faculty/ken.french/ftp",
"Industry_Definitions.zip", sep="/")
# Download the data and unzip it
f <- tempfile()
download.file(ff.url, f)
file.list <- unzip(f,list=TRUE)
trim <- function(string) {
# Remove leading and trailing spaces from a string
ifelse(grepl("^\\s*$", string, perl=TRUE),"",
gsub("^\\s*(.*?)\\s*$","\\1",string,perl=TRUE))
}
# Function to do the heavy lifting
extract_ff_ind_data <- function (file) {
# Read in the data in a plain form
ff_ind <- as.vector(read.delim(unzip(f, files=file), header=FALSE,
stringsAsFactors=FALSE))
# The first 10 characters of each line are the industry data, but only the first
# row of the data for the SIC codes in an industry are filled in;
# so fill in the rest.
ind_num <- trim(substr(ff_ind[,1],1,10))
for (i in 2:length(ind_num)) {
if (ind_num[i]=="") ind_num[i] <- ind_num[i-1]
}
# The rest of each line is either detail on an industry or details about the
# range of SIC codes that fit in each industry with a label for each group
# of SIC codes.
sic_detail <- trim(substr(ff_ind[,1],11,100))
# If the line doesn't start with a number, it's an industry description
is.desc <- grepl("^\\D",sic_detail,perl=TRUE)
# Pull out information from rows about industries
regex.ind <- "^(\\d+)\\s+(\\w+).*$"
ind_num <- gsub(regex.ind,"\\1",ind_num,perl=TRUE)
ind_abbrev <- gsub(regex.ind,"\\2",ind_num[is.desc],perl=TRUE)
ind_list <- data.frame(ind_num=ind_num[is.desc],ind_abbrev,
ind_desc=sic_detail[is.desc])
# Pull out information rows about ranges of SIC codes
regex.sic <- "^(\\d+)-(\\d+)\\s*(.*)$"
ind_num <- ind_num[!is.desc]
sic_detail <- sic_detail[!is.desc]
sic_low <- as.integer(gsub(regex.sic,"\\1",sic_detail,perl=TRUE))
sic_high <- as.integer(gsub(regex.sic,"\\2",sic_detail,perl=TRUE))
sic_desc <- gsub(regex.sic,"\\3",sic_detail,perl=TRUE)
sic_list <- data.frame(ind_num, sic_low, sic_high, sic_desc)
return(merge(ind_list,sic_list,by="ind_num",all=TRUE))
}
# Extract the data of interest
ind_48_table <- extract_ff_ind_data("Siccodes48.txt")
# ind_49_table <- extract_ff_ind_data("Siccodes49.txt")
# ind_12_table <- extract_ff_ind_data("Siccodes12.txt")
# ind_17_table <- extract_ff_ind_data("Siccodes17.txt")
# Load the data into my database
library(RPostgreSQL)
drv <- dbDriver("PostgreSQL")
pg <- dbConnect(drv, dbname = "crsp")
rs <- dbWriteTable(pg,c("ff","ind_48"),ind_48_table,overwrite=TRUE)
##merge in Fama French industries to FUNDA data
library("sqldf", lib.loc = "/Library/Frameworks/R.framework/Versions/3.3/Resources/library")
library("RH2", lib.loc = "/Library/Frameworks/R.framework/Versions/3.3/Resources/library")
detach("package:RPostgreSQL", unload=TRUE)
x <- (FUNDA[, .(sic)])
y = sqldf(" SELECT *
FROM x d1 JOIN ind_48_table d2
ON d1.sic<=d2.sic_high
AND d1.sic>=d2.sic_low
")
y <- unique(data.table(y), by = c("sic"))
y$sic <- y$sic
FUNDA <- merge(FUNDA, y, by = c("sic"), all.x = T)
##see average frequency and period by Fama French industry
View(FUNDA_abv[, .(mean(max_freq, na.rm = T), sd(max_freq, na.rm =
T), .N), ind_desc][order(V1)][N > 1])
View(FUNDA_abv[, .(1 / (mean(max_freq, na.rm = T)), sd(max_freq, na.rm =
T), .N), ind_desc][order(V1)][N > 1])
########################################################################
# End of Code for Obtaining Fama French Industry Info
# CREDIT: IAN GOW
########################################################################
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