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Push most files after run.
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eloualiche committed Jun 4, 2019
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12 changes: 12 additions & 0 deletions .gitignore
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# .gitignore file for RiskPremium Repo


## STANDARD EXCLUSIONS
archive
doc/*.lyx
tmp
.Rhistory

# Specific files
doc/dividendpriceratio.tex
input/msi.sas7bdat
50 changes: 50 additions & 0 deletions Makefile
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#
# Makefile for PREDICTING THE EQUITY RISK PREMIUM
#
# Created on June 04th 2019
# Last modified on April 04th 2019
# --------------------------------------------------------------------------------------------------------


# --------------------------------------------------------------------------------------------------------
all: output/predict.csv readme.md

## DOWNLOAD THE DATA FROM WRDS
input/msi.sas7bdat:
rsync -aPvzh --stats --human-readable eloualic@wrds-cloud.wharton.upenn.edu:/wrds/crsp/sasdata/a_stock/msi.sas7bdat ./input/

## GENERATE PREDICTORS
tmp/predict.csv: src/import_predictors.R input/cay_current.csv input/msi.sas7bdat
R CMD BATCH $(R_OPTS) src/import_predictors.R log/import_predictors.log.R

## RUN REGRESSIONS
output/predict.csv: src/rp_measure.R tmp/predict.csv
R CMD BATCH $(R_OPTS) src/rp_measure.R log/rp_measure.log.R
@echo

## OUTPUT RESULTS
readme.md: src/readme_in.md
cat src/readme_in.md tmp/reg_update.txt > readme.md


# --------------------------------------------------------------------------------------------------------
.PHONY : help
help : Makefile
@sed -n 's/^##//p' $<

## clean
.PHONY : clean
clean:
rm -rf ./output/*
rm -rf ./log/*.log*
rm -rf ./tmp/*


# --------------------------------------------------------------------------------------------------------
SHELL := /bin/bash
R_OPTS := --vanilla
# DATE := `date '+%Y-%m-%d %H:%M:%S'`
# --------------------------------------------------------------------------------------------------------



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265 changes: 265 additions & 0 deletions input/cay_current.csv
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cay = c - 0.274092 a - 0.757866 y - 0.668337,,,,
date,c (pce),a,y,cay
195201,9.093943022,10.89614146,8.918819854,0.016465442
195202,9.109441501,10.91332962,8.921109123,0.025517831
195203,9.109911598,10.91016439,8.934989259,0.016336205
195204,9.140163235,10.9044185,8.964998095,0.025420057
195301,9.148163376,10.9046518,8.975451626,0.025433872
195302,9.150421745,10.90494552,8.98510858,0.020293056
195303,9.143581997,10.90331512,8.978187927,0.019145117
195304,9.132202022,10.907309,8.966159289,0.015786553
195401,9.131671469,10.91469342,8.956056168,0.020888805
195402,9.140594975,10.93119337,8.955027313,0.026069547
195403,9.149442411,10.95242406,8.958497606,0.026467811
195404,9.165444913,10.95832073,8.977145303,0.026721624
195501,9.183421078,10.96577967,8.985189913,0.036556615
195502,9.198399462,10.98746022,9.006578672,0.029382724
195503,9.206077973,11.0016164,9.022344419,0.021232813
195504,9.213812065,11.00508517,9.032231011,0.020523432
195601,9.211124499,11.02292656,9.039134587,0.007713701
195602,9.210367791,11.02172803,9.046445912,0.001744495
195603,9.207929696,11.01615645,9.045127353,0.001832813
195604,9.216725697,11.02684477,9.057048929,-0.001335726
195701,9.219311188,11.0207387,9.056424703,0.00339647
195702,9.217018897,11.03509493,9.057792745,-0.003867536
195703,9.220409587,11.01926643,9.056413137,0.00490717
195704,9.216247359,11.01815791,9.047622236,0.007711104
195801,9.198650421,11.02012461,9.025951142,0.005998902
195802,9.203004305,11.03273056,9.028212681,0.005183657
195803,9.214993784,11.05453525,9.050381576,-0.005604405
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195901,9.237750549,11.06425802,9.068623771,0.000662285
195902,9.24919894,11.07358769,9.081403293,-0.000131677
195903,9.255385248,11.06791808,9.072734609,0.014178326
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197404,9.640943453,11.31759034,9.532559794,-0.017182557
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197901,9.785369493,11.46459169,9.64493673,0.001784946
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197904,9.788520387,11.4787099,9.639518311,0.005172593
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198003,9.766351278,11.49416493,9.633750456,-0.016861347
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198104,9.768738186,11.49758988,9.637168813,-0.018003848
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198301,9.803107523,11.52713057,9.646222473,0.001407171
198302,9.820665335,11.54137907,9.653524725,0.009525456
198303,9.835560102,11.53759447,9.661215102,0.019629272
198304,9.848878565,11.53367048,9.676359102,0.022546142
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198402,9.867534011,11.54467285,9.696931307,0.022594949
198403,9.872761659,11.55918601,9.704032062,0.018463237
198404,9.88345611,11.56750044,9.712655947,0.020343021
198501,9.898488374,11.5823805,9.707510143,0.035196616
198502,9.905724652,11.5955534,9.726408807,0.024499652
198503,9.922152744,11.59703641,9.724678914,0.04183229
198504,9.922232815,11.61821794,9.733890235,0.029125732
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201203,10.40814172,12.21732615,10.20503977,-0.006244276
201204,10.40896328,12.22598983,10.21774391,-0.017425398
201301,10.41215242,12.26147785,10.18439318,0.001312162
201302,10.41264013,12.28316096,10.19208326,-0.009971338
201303,10.41531169,12.31008855,10.19449664,-0.016509419
201304,10.42169125,12.33817751,10.19550457,-0.018592692
201401,10.424797,12.34558322,10.20302759,-0.023218232
201402,10.43160729,12.35979604,10.20844901,-0.024412266
201403,10.43919365,12.35937058,10.21586838,-0.022332177
201404,10.44947895,12.38002573,10.22875616,-0.027475502
201501,10.45684875,12.40146138,10.24015827,-0.034622307
201502,10.46256543,12.40470186,10.24653883,-0.034629428
201503,10.46734812,12.38549823,10.24914833,-0.02656083
201504,10.47190889,12.40427123,10.25976458,-0.035191286
201601,10.47478362,12.40512783,10.25672492,-0.030247686
201602,10.48246925,12.40920055,10.26212304,-0.027769407
201603,10.48743766,12.42801793,10.26372071,-0.029169505
201604,10.4927175,12.44184314,10.25415362,-0.02042846
201701,10.49589657,12.45703895,10.25927611,-0.0252966
201702,10.50230614,12.47080687,10.26441263,-0.026553501
201703,10.50568767,12.48331976,10.26573817,-0.027606225
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