我正在使用 eventstudies package .我正在使用 phys2eventtime(..)
设置我的数据。但是我得到
Error in `colnames<-`(`*tmp*`, value = integer(0)) :
attempt to set 'colnames' on an object with less than two dimensions
我的猜测是,我的数据格式错误。当我查看使用示例中的函数的示例数据时:
> es <- phys2eventtime(z=StockPriceReturns, events=SplitDates, width=10)
> (str(StockPriceReturns))
'zoo' series from 2000-04-03 to 2013-03-28
Data: num [1:3246, 1:30] NA NA NA NA NA NA NA NA NA NA ...
- attr(*, "dimnames")=List of 2
..$ : NULL
..$ : chr [1:30] "Bajaj.Auto" "BHEL" "Bharti.Airtel" "Cipla" ...
Index: Date[1:3246], format: "2000-04-03" "2000-04-04" "2000-04-05" "2000-04-06" ...
NULL
与此相比,我的数据如下所示:
> (str(zoo_Data))
'zoo' series from 2002-01-01 to 2013-08-20
Data: num [1:3036] 183 183 186 191 191 ...
Index: Date[1:3036], format: "2002-01-01" "2002-01-02" "2002-01-03" "2002-01-04" ...
NULL
这是不同的:
- attr(*, "dimnames")=List of 2
之类的东西在查看原始数据时也可以看到这一点:
样本数据:
> (head(StockPriceReturns))
Bajaj.Auto BHEL Bharti.Airtel Cipla Coal.India Dr.Reddy
2000-04-03 NA 4.9171044 NA 6.810041 NA -3.2541653
2000-04-04 NA -8.3348496 NA -3.368606 NA -8.3353739
2000-04-05 NA 0.3305788 NA 0.836825 NA 0.2616345
2000-04-06 NA -2.7605266 NA -2.466056 NA -1.8941289
2000-04-07 NA 3.2543548 NA 7.690426 NA 7.6961041
2000-04-10 NA 3.3107586 NA 6.154276 NA 6.4769648
我的数据:
> (head(zoo_Data))
2002-01-01 2002-01-02 2002-01-03 2002-01-04 2002-01-07 2002-01-08
182.83 182.83 186.40 190.57 191.17 193.25
df data
:我正在从我的数据中构建动物园对象,如下所示:
> dfToZoo <- function(df) {
require(zoo)
date <- as.Date(df[, 1], format = '%d.%m.%Y')
#TODO have a look if the column are rightly named
with(df, zoo(TotalReturns, date))
}
csv_data <- read.csv(..., header = TRUE, sep = ";",stringsAsFactors=FALSE)
totalReturns <- (as.double(gsub(",",".",csv_data$TotalReturn)))
df <- data.frame(csv_data$Date, totalReturns)
names(df) <- c("Date" ,"TotalReturns")
zoo_Data <- dfToZoo(df)
如何添加
attr(*, "dimnames")=List of 2
我的数据?我感谢您的回复!
更新 1
这是
example data code
从库包:library(eventstudies)
library(zoo)
###########################
# Load data
(data(SplitDates))
(data(StockPriceReturns))
data <- StockPriceReturns
(head(StockPriceReturns))
es <- phys2eventtime(z=StockPriceReturns, events=SplitDates, width=10)
es.w <- window(es$z.e, start=-10, end=10)
SplitDates[1:3,]
更新 2
这是我自己的数据的格式:
> (str(s_dates))
'data.frame': 36799 obs. of 2 variables:
$ unit: chr "ZAE000006284" "ZAE000006284" "ZAE000006284" "ZAE000006284" ...
$ when: Date, format: "2003-12-18" "2005-04-06" ...
NULL
> (str(zoo_Data))
'zoo' series from 2002-01-01 to 2013-08-20
Data: num [1:3036] 183 183 186 191 191 ...
Index: Date[1:3036], format: "2002-01-01" "2002-01-02" "2002-01-03" "2002-01-04" ...
NULL
事件研究包中的数据格式如下:
> (str(SplitDates))
'data.frame': 22 obs. of 2 variables:
$ unit: chr "BHEL" "Bharti.Airtel" "Cipla" "Coal.India" ...
$ when: Date, format: "2011-10-03" "2009-07-24" ...
NULL
> (str(StockPriceReturns))
'zoo' series from 2000-04-03 to 2013-03-28
Data: num [1:3246, 1:30] NA NA NA NA NA NA NA NA NA NA ...
- attr(*, "dimnames")=List of 2
..$ : NULL
..$ : chr [1:30] "Bajaj.Auto" "BHEL" "Bharti.Airtel" "Cipla" ...
Index: Date[1:3246], format: "2000-04-03" "2000-04-04" "2000-04-05" "2000-04-06" ...
NULL
更新 3
可重现的示例
我最初是通过不同的 csv 文件读取数据。请参阅我的可重现示例:
可重现的例子
library(eventstudies)
library(zoo)
s_dates <-
structure(list(unit = c("ZAE000006284", "ZAE000006284", "ZAE000006284",
"ZAE000006284", "ZAE000006284", "XS0430907989", "XS0430907989"
), when = structure(c(12404, 12879, 12879, 12880, 12930, 14411,
14411), class = "Date")), .Names = c("unit", "when"), row.names = c(NA,
7L), class = "data.frame")
zoo_Data <-
structure(c(182.83, 182.83, 186.4, 190.57, 191.17, 193.25, 190.57
), index = structure(c(11688, 11689, 11690, 11691, 11694, 11695,
11696), class = "Date"), class = "zoo")
es <- phys2eventtime(z=zoo_Data, events=s_dates, width=10)
Error in `colnames<-`(`*tmp*`, value = integer(0)) :
attempt to set 'colnames' on an object with less than two dimensions
> es.w <- window(es$z.e, start=-10, end=10)
Error in window(es$z.e, start = -10, end = 10) : object 'es' not found
更新 4
好的,当我尝试转换我的
zoo_data
时:> library(eventstudies)
> library(zoo)
>
> s_dates <- dput(head(s_dates,30))
structure(list(unit = c("ZAE000006284", "ZAE000006284", "ZAE000006284",
"ZAE000006284", "ZAE000006284", "XS0430907989", "XS0430907989",
"XS0302626899", "XS0302626899", "XS0302626899", "XS0302626899",
"XS0302626899", "XS0302626899", "XS0266838746", "XS0187043079",
"XS0187043079", "XS0187043079", "XF0000TZ7757", "XF0000AK5197",
"XF0000AK5197", "XF0000AK5197", "XF0000AK5197", "XF0000AK5197",
"USU02681027", "USU026281027", "USU026281027", "USU026281027",
"USU026281027", "USU026281027", "USU026281027"), when = structure(c(12404,
12879, 12879, 12880, 12930, 14411, 14411, 14599, 14600, 15134,
15139, 15328, 15328, 13913, 14330, 14335, 14593, 13049, 12953,
12954, 12954, 12954, 12955, 12934, 13537, 13537, 13537, 13648,
13649, 13649), class = "Date")), .Names = c("unit", "when"), row.names = c(NA,
30L), class = "data.frame")
> zoo_Data <- dput(head(zoo_Data,30))
structure(c(182.83, 182.83, 186.4, 190.57, 191.17, 193.25, 190.57,
184.02, 181.34, 172.11, 169.73, 160.2, 175.09, 172.11, 170.92,
176.58, 171.51, 170.92, 173.9, 168.54, 167.34, 166.75, 166.45,
167.34, 164.37, 159.01, 158.11, 154.84, 156.63, 161.99), index = structure(c(11688,
11689, 11690, 11691, 11694, 11695, 11696, 11697, 11698, 11701,
11702, 11703, 11704, 11705, 11708, 11709, 11710, 11711, 11712,
11715, 11716, 11717, 11718, 11719, 11722, 11723, 11724, 11725,
11726, 11729), class = "Date"), class = "zoo")
>
> n = 20 ## number of observation
> cn <- unique(s_dates$unit) ## get response variable
>
> as.xts(zoo_Data)
>
> names(zoo_Data) <- cn
>
> es <- phys2eventtime(z=zoo_Data), events=s_dates, width=10)
Error in `colnames<-`(`*tmp*`, value = integer(0)) :
attempt to set 'colnames' on an object with less than two dimensions
> es.w <- window(es$z.e, start=-3, end=3)
Error in window(es$z.e, start = -3, end = 3) : object 'es' not found
最佳答案
phys2eventtime
将实际日期转换为事件日期。
因此,给定动物园时间序列和事件日期,它将实际日期转换为事件日期。这意味着,如果它在 zoo 对象的范围内找到一个事件日期,则该日期将变为 0,所有其他日期也相应地发生变化。
所以给这个事件日期对象:
unit when
1 ZAE000006284 2003-12-18
2 ZAE000006284 2005-04-06
3 ZAE000006284 2005-04-06
4 ZAE000006284 2005-04-07
5 ZAE000006284 2005-05-27
6 XS0430907989 2009-06-16
7 XS0430907989 2009-06-16
转换 ts --> 事件日期的条件
您的物理时间序列日期(动物园对象)应满足 2 个条件:
创建可转换为事件日期的物理时间序列
现在我将创建一个满足这两个条件的时间序列:一个多时间序列(xts 对象),它的索引落在 s_dates 的范围内并且在 s_dates 单位值内具有列名。
n = 20 ## number of observation
cn <- unique(s_dates$unit) ## get response variable
rr = range(s_dates$when) ## get date range
## COND2
index = seq(rr[1],rr[2],length.out=n)
mat = matrix(round(runif(n*2,min=150,max=200),2),ncol=2)
ev.dat = xts(mat,index)
## COND1
names(ev.dat) <- cn
检查我们的时间序列对象:
head(ev.dat)
ZAE000006284 XS0430907989
2003-12-18 183.27 152.89
2004-04-01 195.23 172.78
2004-07-16 190.18 164.92
2004-10-29 182.24 191.19
2005-02-12 151.78 195.81
2005-05-29 153.78 189.27
毫不奇怪,它工作正常:
(es <- phys2eventtime(z=ev.dat, events=s_dates, width=5))
(es.w <- window(es$z.e, start=-10, end=10))
head(es.w)
2 3 4 5
-4 197.28 197.28 197.28 197.28
-3 158.54 158.54 158.54 158.54
-2 180.56 180.56 180.56 180.56
-1 194.41 194.41 194.41 194.41
0 157.64 157.64 157.64 157.64
1 151.06 151.06 151.06 151.06
如何测试您的时间序列是否满足这两个条件:
作为奖励,我创建了一个小函数,为您提供 2 个条件:
check.phys2ev <- function(ev.dat,s_dates){
is.sucess = lapply(s_dates$when,function(when){
inter = findInterval(when, index(ev.dat))
inter < nrow(ev.dat) && inter >1
})
sum(unlist(is.sucess)) >0 &
all(colnames(ev.dat) %in% s_dates$unit)
}
check.phys2ev(ev.dat,s_dates)
[1] TRUE
关于r - 使用 "dimnames"= List of 2 格式化动物园对象,我们在Stack Overflow上找到一个类似的问题: https://stackoverflow.com/questions/20878615/