Hi Bill, Tell me more about the Obs object. The "subset" of an lm should be a vector telling the lm which observations to use...if Obs[197,396] is a single number, only one observation will be used, and chances are your model is not what you intended. Also, predict(result1,newdata=Obs[397,339]) needs that cell in Obs to have a column called "SP500 index," and predict.lm (check the man page for it) will only return one number, the prediction for the given new data. If you want it to have 3 numbers, maybe Obs[397:399] is what you want? The colon means "397 through 399, inclusive" while the comma means "row 397, column 399". If this is your mistake, you actually want "subset=197:396, data=Obs" in your call to lm. Hope this helped. --Adam
On Thu, 11 Sep 2008, Xianchun Liao wrote:
I am an R beginner and trying to run a market model using event study in R framework. First, I run a market model, that is lm(stock security~SP500 index, subset=Obs[197, 396]) ->result1 Then I get predict results for a new dataset using predict (result1, newdata=Obs[397,399]) ->pred1 Pred1 should have three numbers. Now I need to calculate abnormal return by the formula stock security [397,399] -pred1 But it does not work after trying many times. So, how to write a R code to implement the formula and get right results. Thanks, Bill [[alternative HTML version deleted]]
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