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Update data to 201712
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@eloualiche
eloualiche committed Jun 6, 2022
1 parent 49b2153 commit cc2c0dc
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273 changes: 139 additions & 134 deletions log/R-session-info.log.R
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68 changes: 34 additions & 34 deletions log/import_predictors.log.R
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Original file line number Diff line number Diff line change
@@ -1,7 +1,7 @@

R version 3.6.2 (2019-12-12) -- "Dark and Stormy Night"
Copyright (C) 2019 The R Foundation for Statistical Computing
Platform: x86_64-apple-darwin15.6.0 (64-bit)
R version 4.1.3 (2022-03-10) -- "One Push-Up"
Copyright (C) 2022 The R Foundation for Statistical Computing
Platform: x86_64-apple-darwin17.0 (64-bit)

R is free software and comes with ABSOLUTELY NO WARRANTY.
You are welcome to redistribute it under certain conditions.
Expand Down Expand Up @@ -48,7 +48,7 @@ Type 'q()' to quit R.
Log file for code executed at

> message(format(Sys.time(), "%a %b %d %X %Y"))
Mon Mar 23 08:59:59 2020
Mon Jun 06 12:38:01 2022
> ##################################################################################
>
>
Expand Down Expand Up @@ -91,9 +91,9 @@ Loading required package: lubridate

Attaching package: ‘lubridate’

The following object is masked from ‘package:base’:
The following objects are masked from ‘package:base’:

date
date, intersect, setdiff, union

Loading required package: RcppRoll
Loading required package: statar
Expand Down Expand Up @@ -131,11 +131,11 @@ The following objects are masked from ‘package:dplyr’:
4: 195004 0.0115
5: 195005 0.0116
---
838: 201910 0.0165
839: 201911 0.0154
840: 201912 0.0154
841: 202001 0.0152
842: 202002 0.0152
848: 202008 0.0010
849: 202009 0.0011
850: 202010 0.0010
851: 202011 0.0009
852: 202012 0.0009
> # fwrite(dt_tbill, "./input/tbill.csv")
> ##################################################################################
>
Expand Down Expand Up @@ -187,11 +187,11 @@ The following objects are masked from ‘package:dplyr’:
4: 192603 NA
5: 192604 NA
---
1125: 201908 0.02129861
1126: 201909 0.02150184
1127: 201910 0.02149657
1128: 201911 0.02113526
1129: 201912 0.02085788
1152: 202111 0.01475104
1153: 202112 0.01473475
1154: 202201 0.01454479
1155: 202202 0.01458693
1156: 202203 0.01466498
> ##################################################################################
>
>
Expand All @@ -211,18 +211,18 @@ The following objects are masked from ‘package:dplyr’:
>
> dt_rmrf <- dt_rmrf[, .(dateym, rmrf_y3) ]
> dt_rmrf[ !is.na(rmrf_y3) ]
dateym rmrf_y3
1: 195001 0.1916460
2: 195002 0.1844133
3: 195003 0.1738962
4: 195004 0.1472840
5: 195005 0.1328846
---
800: 201608 0.0992516
801: 201609 0.1035328
802: 201610 0.1184933
803: 201611 0.1160087
804: 201612 0.1191020
dateym rmrf_y3
1: 195001 0.19164596
2: 195002 0.18441326
3: 195003 0.17389623
4: 195004 0.14728401
5: 195005 0.13288460
---
812: 201708 0.10990858
813: 201709 0.08875791
814: 201710 0.07444771
815: 201711 0.10732976
816: 201712 0.12023222
> ##################################################################################
>
>
Expand All @@ -241,11 +241,11 @@ The following objects are masked from ‘package:dplyr’:
4: 195212 0.05522191 0.0209 0.22202729 0.02216598
5: 195303 0.05455042 0.0201 0.26058722 0.02152118
---
256: 201512 0.02191273 0.0023 0.07466284 -0.02350179
257: 201603 0.02265601 0.0029 0.11699368 -0.02321807
258: 201606 0.02307582 0.0027 0.11884748 -0.01823511
259: 201609 0.02297658 0.0029 0.10353283 -0.01942223
260: 201612 0.02284611 0.0051 0.11910203 -0.01902802
260: 201612 0.02284466 0.0051 0.11899389 -0.01902802
261: 201703 0.02185142 0.0074 0.01294375 -0.02168661
262: 201706 0.02147595 0.0098 0.07365837 -0.02432134
263: 201709 0.02132813 0.0103 0.08875791 -0.02799587
264: 201712 0.02075782 0.0132 0.12023222 -0.02490222
>
> fwrite(dt_predict, "./tmp/predict.csv")
> ##################################################################################
Expand All @@ -266,4 +266,4 @@ The following objects are masked from ‘package:dplyr’:
>
> proc.time()
user system elapsed
2.462 0.335 4.291
1.506 0.172 2.113
84 changes: 42 additions & 42 deletions log/rp_measure.log.R
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Original file line number Diff line number Diff line change
@@ -1,7 +1,7 @@

R version 3.6.2 (2019-12-12) -- "Dark and Stormy Night"
Copyright (C) 2019 The R Foundation for Statistical Computing
Platform: x86_64-apple-darwin15.6.0 (64-bit)
R version 4.1.3 (2022-03-10) -- "One Push-Up"
Copyright (C) 2022 The R Foundation for Statistical Computing
Platform: x86_64-apple-darwin17.0 (64-bit)

R is free software and comes with ABSOLUTELY NO WARRANTY.
You are welcome to redistribute it under certain conditions.
Expand Down Expand Up @@ -36,7 +36,7 @@ Type 'q()' to quit R.
Log file for code executed at

> message(format(Sys.time(), "%a %b %d %X %Y"))
Mon Mar 23 09:00:04 2020
Mon Jun 06 12:38:03 2022
> ##################################################################################
>
>
Expand Down Expand Up @@ -76,9 +76,9 @@ Loading required package: lubridate

Attaching package: ‘lubridate’

The following object is masked from ‘package:base’:
The following objects are masked from ‘package:base’:

date
date, intersect, setdiff, union

Loading required package: lmtest
Loading required package: zoo
Expand All @@ -101,8 +101,8 @@ Loading required package: stargazer

Please cite as:

Hlavac, Marek (2018). stargazer: Well-Formatted Regression and Summary Statistics Tables.
R package version 5.2.2. https://CRAN.R-project.org/package=stargazer
Hlavac, Marek (2022). stargazer: Well-Formatted Regression and Summary Statistics Tables.
R package version 5.2.3. https://CRAN.R-project.org/package=stargazer

Loading required package: data.table

Expand Down Expand Up @@ -145,24 +145,24 @@ The following objects are masked from ‘package:lubridate’:
test test
(1) (2) (3) (4)
-------------------------------------------------------------------------------------------
dp 3.633*** 3.633*** 3.411*** 3.411***
(0.441) (1.075) (0.437) (1.133)
dp 3.632*** 3.632*** 3.370*** 3.370***
(0.440) (1.074) (0.436) (1.135)

cay 2.156*** 2.156*** 1.873*** 1.873***
(0.261) (0.605) (0.250) (0.629)
cay 2.156*** 2.156*** 1.814*** 1.814***
(0.261) (0.604) (0.246) (0.630)

rf -0.938*** -0.938** -1.229*** -1.229***
(0.177) (0.364) (0.163) (0.381)
rf -0.938*** -0.938** -1.246*** -1.246***
(0.177) (0.364) (0.163) (0.378)

Constant -0.019 -0.019 0.008 0.008
(0.015) (0.037) (0.014) (0.037)
Constant -0.019 -0.019 0.011 0.011
(0.015) (0.037) (0.013) (0.036)

-------------------------------------------------------------------------------------------
Observations 236 260
R2 0.384 0.351
Adjusted R2 0.376 0.343
Residual Std. Error 0.074 (df = 232) 0.074 (df = 256)
F Statistic 48.180*** (df = 3; 232) 46.061*** (df = 3; 256)
Observations 236 264
R2 0.384 0.344
Adjusted R2 0.376 0.336
Residual Std. Error 0.074 (df = 232) 0.074 (df = 260)
F Statistic 48.181*** (df = 3; 232) 45.459*** (df = 3; 260)
===========================================================================================
Note: *p<0.1; **p<0.05; ***p<0.01
>
Expand All @@ -175,21 +175,21 @@ Note: *p<0.1; **p<0.05
===========================================================
Future Excess Returns
-----------------------------------------------------------
D/P ratio 3.411***
(0.437)
D/P ratio 3.370***
(0.436)

cay 1.873***
(0.250)
cay 1.814***
(0.246)

T-bill (three-month) -1.229***
T-bill (three-month) -1.246***
(0.163)

Constant 0.008
(0.014)
Constant 0.011
(0.013)

Observations 260
R2 0.351
F Statistic 46.061*** (df = 3; 256)
Observations 264
R2 0.344
F Statistic 45.459*** (df = 3; 260)
-----------------------------------------------------------
Notes: ***Significant at the 1 percent level.
**Significant at the 5 percent level.
Expand All @@ -216,17 +216,17 @@ Notes: ***Significant at the 1 percent level.
+ dp, cay, rf, rmrf_y3, exp_rmrf)]
> dt_plot[]
date dp cay rf rmrf_y3 exp_rmrf
1: 1952-03-01 0.05817138 0.01510493 0.0159 0.18092953 0.21561991
2: 1952-06-01 0.05739649 0.02483727 0.0170 0.21642173 0.22985471
3: 1952-09-01 0.05709103 0.01484008 0.0171 0.23193277 0.20996430
4: 1952-12-01 0.05522191 0.02216598 0.0209 0.22202729 0.21264141
5: 1953-03-01 0.05455042 0.02152118 0.0201 0.26058722 0.21012652
1: 1952-03-01 0.05817138 0.01510493 0.0159 0.18092953 0.21495611
2: 1952-06-01 0.05739649 0.02483727 0.0170 0.21642173 0.22862789
3: 1952-09-01 0.05709103 0.01484008 0.0171 0.23193277 0.20933933
4: 1952-12-01 0.05522191 0.02216598 0.0209 0.22202729 0.21159354
5: 1953-03-01 0.05455042 0.02152118 0.0201 0.26058722 0.20915790
---
256: 2015-12-01 0.02191273 -0.02350179 0.0023 0.07466284 0.03635076
257: 2016-03-01 0.02265601 -0.02321807 0.0029 0.11699368 0.03867995
258: 2016-06-01 0.02307582 -0.01823511 0.0027 0.11884748 0.04969115
259: 2016-09-01 0.02297658 -0.01942223 0.0029 0.10353283 0.04688330
260: 2016-12-01 0.02284611 -0.01902802 0.0051 0.11910203 0.04447305
260: 2016-12-01 0.02284466 -0.01902802 0.0051 0.11899389 0.04744519
261: 2017-03-01 0.02185142 -0.02168661 0.0074 0.01294375 0.03640904
262: 2017-06-01 0.02147595 -0.02432134 0.0098 0.07365837 0.02737347
263: 2017-09-01 0.02132813 -0.02799587 0.0103 0.08875791 0.01958676
264: 2017-12-01 0.02075782 -0.02490222 0.0132 0.12023222 0.01966250
>
>
> p0 <- dt_plot[, .(date, dp, cay, rf, rmrf_y3) ] %>%
Expand Down Expand Up @@ -256,4 +256,4 @@ Notes: ***Significant at the 1 percent level.
>
> proc.time()
user system elapsed
3.096 0.328 4.087
2.456 0.224 2.887
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