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Update data to 201712
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‎log/R-session-info.log.R‎

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‎log/import_predictors.log.R‎

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@@ -1,7 +1,7 @@
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R version 3.6.2 (2019-12-12) -- "Dark and Stormy Night"
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Copyright (C) 2019 The R Foundation for Statistical Computing
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Platform: x86_64-apple-darwin15.6.0 (64-bit)
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R version 4.1.3 (2022-03-10) -- "One Push-Up"
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Copyright (C) 2022 The R Foundation for Statistical Computing
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Platform: x86_64-apple-darwin17.0 (64-bit)
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R is free software and comes with ABSOLUTELY NO WARRANTY.
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You are welcome to redistribute it under certain conditions.
@@ -48,7 +48,7 @@ Type 'q()' to quit R.
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Log file for code executed at
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> message(format(Sys.time(), "%a %b %d %X %Y"))
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Mon Mar 23 08:59:59 2020
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Mon Jun 06 12:38:01 2022
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> ##################################################################################
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>
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>
@@ -91,9 +91,9 @@ Loading required package: lubridate
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Attaching package: ‘lubridate’
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The following object is masked from ‘package:base’:
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The following objects are masked from ‘package:base’:
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date
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date, intersect, setdiff, union
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Loading required package: RcppRoll
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Loading required package: statar
@@ -131,11 +131,11 @@ The following objects are masked from ‘package:dplyr’:
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4: 195004 0.0115
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5: 195005 0.0116
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---
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838: 201910 0.0165
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839: 201911 0.0154
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840: 201912 0.0154
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841: 202001 0.0152
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842: 202002 0.0152
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848: 202008 0.0010
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849: 202009 0.0011
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850: 202010 0.0010
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851: 202011 0.0009
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852: 202012 0.0009
139139
> # fwrite(dt_tbill, "./input/tbill.csv")
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> ##################################################################################
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>
@@ -187,11 +187,11 @@ The following objects are masked from ‘package:dplyr’:
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4: 192603 NA
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5: 192604 NA
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---
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1125: 201908 0.02129861
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1126: 201909 0.02150184
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1127: 201910 0.02149657
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1128: 201911 0.02113526
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1129: 201912 0.02085788
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1152: 202111 0.01475104
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1153: 202112 0.01473475
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1154: 202201 0.01454479
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1155: 202202 0.01458693
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1156: 202203 0.01466498
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> ##################################################################################
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>
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>
@@ -211,18 +211,18 @@ The following objects are masked from ‘package:dplyr’:
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>
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> dt_rmrf <- dt_rmrf[, .(dateym, rmrf_y3) ]
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> dt_rmrf[ !is.na(rmrf_y3) ]
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dateym rmrf_y3
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1: 195001 0.1916460
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2: 195002 0.1844133
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3: 195003 0.1738962
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4: 195004 0.1472840
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5: 195005 0.1328846
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---
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800: 201608 0.0992516
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801: 201609 0.1035328
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802: 201610 0.1184933
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803: 201611 0.1160087
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804: 201612 0.1191020
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dateym rmrf_y3
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1: 195001 0.19164596
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2: 195002 0.18441326
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3: 195003 0.17389623
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4: 195004 0.14728401
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5: 195005 0.13288460
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---
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812: 201708 0.10990858
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813: 201709 0.08875791
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814: 201710 0.07444771
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815: 201711 0.10732976
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816: 201712 0.12023222
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> ##################################################################################
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>
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>
@@ -241,11 +241,11 @@ The following objects are masked from ‘package:dplyr’:
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4: 195212 0.05522191 0.0209 0.22202729 0.02216598
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5: 195303 0.05455042 0.0201 0.26058722 0.02152118
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---
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256: 201512 0.02191273 0.0023 0.07466284 -0.02350179
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257: 201603 0.02265601 0.0029 0.11699368 -0.02321807
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258: 201606 0.02307582 0.0027 0.11884748 -0.01823511
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259: 201609 0.02297658 0.0029 0.10353283 -0.01942223
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260: 201612 0.02284611 0.0051 0.11910203 -0.01902802
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260: 201612 0.02284466 0.0051 0.11899389 -0.01902802
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261: 201703 0.02185142 0.0074 0.01294375 -0.02168661
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262: 201706 0.02147595 0.0098 0.07365837 -0.02432134
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263: 201709 0.02132813 0.0103 0.08875791 -0.02799587
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264: 201712 0.02075782 0.0132 0.12023222 -0.02490222
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>
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> fwrite(dt_predict, "./tmp/predict.csv")
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> ##################################################################################
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>
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> proc.time()
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user system elapsed
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2.462 0.335 4.291
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1.506 0.172 2.113

‎log/rp_measure.log.R‎

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Original file line numberDiff line numberDiff line change
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R version 3.6.2 (2019-12-12) -- "Dark and Stormy Night"
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Copyright (C) 2019 The R Foundation for Statistical Computing
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Platform: x86_64-apple-darwin15.6.0 (64-bit)
2+
R version 4.1.3 (2022-03-10) -- "One Push-Up"
3+
Copyright (C) 2022 The R Foundation for Statistical Computing
4+
Platform: x86_64-apple-darwin17.0 (64-bit)
55

66
R is free software and comes with ABSOLUTELY NO WARRANTY.
77
You are welcome to redistribute it under certain conditions.
@@ -36,7 +36,7 @@ Type 'q()' to quit R.
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Log file for code executed at
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> message(format(Sys.time(), "%a %b %d %X %Y"))
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Mon Mar 23 09:00:04 2020
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Mon Jun 06 12:38:03 2022
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> ##################################################################################
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>
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>
@@ -76,9 +76,9 @@ Loading required package: lubridate
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Attaching package: ‘lubridate’
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The following object is masked from ‘package:base’:
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The following objects are masked from ‘package:base’:
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date
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date, intersect, setdiff, union
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Loading required package: lmtest
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Loading required package: zoo
@@ -101,8 +101,8 @@ Loading required package: stargazer
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Please cite as:
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Hlavac, Marek (2018). stargazer: Well-Formatted Regression and Summary Statistics Tables.
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R package version 5.2.2. https://CRAN.R-project.org/package=stargazer
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Hlavac, Marek (2022). stargazer: Well-Formatted Regression and Summary Statistics Tables.
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R package version 5.2.3. https://CRAN.R-project.org/package=stargazer
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Loading required package: data.table
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@@ -145,24 +145,24 @@ The following objects are masked from ‘package:lubridate’:
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test test
146146
(1) (2) (3) (4)
147147
-------------------------------------------------------------------------------------------
148-
dp 3.633*** 3.633*** 3.411*** 3.411***
149-
(0.441) (1.075) (0.437) (1.133)
148+
dp 3.632*** 3.632*** 3.370*** 3.370***
149+
(0.440) (1.074) (0.436) (1.135)
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151-
cay 2.156*** 2.156*** 1.873*** 1.873***
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(0.261) (0.605) (0.250) (0.629)
151+
cay 2.156*** 2.156*** 1.814*** 1.814***
152+
(0.261) (0.604) (0.246) (0.630)
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rf -0.938*** -0.938** -1.229*** -1.229***
155-
(0.177) (0.364) (0.163) (0.381)
154+
rf -0.938*** -0.938** -1.246*** -1.246***
155+
(0.177) (0.364) (0.163) (0.378)
156156

157-
Constant -0.019 -0.019 0.008 0.008
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(0.015) (0.037) (0.014) (0.037)
157+
Constant -0.019 -0.019 0.011 0.011
158+
(0.015) (0.037) (0.013) (0.036)
159159

160160
-------------------------------------------------------------------------------------------
161-
Observations 236 260
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R2 0.384 0.351
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Adjusted R2 0.376 0.343
164-
Residual Std. Error 0.074 (df = 232) 0.074 (df = 256)
165-
F Statistic 48.180*** (df = 3; 232) 46.061*** (df = 3; 256)
161+
Observations 236 264
162+
R2 0.384 0.344
163+
Adjusted R2 0.376 0.336
164+
Residual Std. Error 0.074 (df = 232) 0.074 (df = 260)
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F Statistic 48.181*** (df = 3; 232) 45.459*** (df = 3; 260)
166166
===========================================================================================
167167
Note: *p<0.1; **p<0.05; ***p<0.01
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>
@@ -175,21 +175,21 @@ Note: *p<0.1; **p<0.05
175175
===========================================================
176176
Future Excess Returns
177177
-----------------------------------------------------------
178-
D/P ratio 3.411***
179-
(0.437)
178+
D/P ratio 3.370***
179+
(0.436)
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181-
cay 1.873***
182-
(0.250)
181+
cay 1.814***
182+
(0.246)
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184-
T-bill (three-month) -1.229***
184+
T-bill (three-month) -1.246***
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(0.163)
186186

187-
Constant 0.008
188-
(0.014)
187+
Constant 0.011
188+
(0.013)
189189

190-
Observations 260
191-
R2 0.351
192-
F Statistic 46.061*** (df = 3; 256)
190+
Observations 264
191+
R2 0.344
192+
F Statistic 45.459*** (df = 3; 260)
193193
-----------------------------------------------------------
194194
Notes: ***Significant at the 1 percent level.
195195
**Significant at the 5 percent level.
@@ -216,17 +216,17 @@ Notes: ***Significant at the 1 percent level.
216216
+ dp, cay, rf, rmrf_y3, exp_rmrf)]
217217
> dt_plot[]
218218
date dp cay rf rmrf_y3 exp_rmrf
219-
1: 1952-03-01 0.05817138 0.01510493 0.0159 0.18092953 0.21561991
220-
2: 1952-06-01 0.05739649 0.02483727 0.0170 0.21642173 0.22985471
221-
3: 1952-09-01 0.05709103 0.01484008 0.0171 0.23193277 0.20996430
222-
4: 1952-12-01 0.05522191 0.02216598 0.0209 0.22202729 0.21264141
223-
5: 1953-03-01 0.05455042 0.02152118 0.0201 0.26058722 0.21012652
219+
1: 1952-03-01 0.05817138 0.01510493 0.0159 0.18092953 0.21495611
220+
2: 1952-06-01 0.05739649 0.02483727 0.0170 0.21642173 0.22862789
221+
3: 1952-09-01 0.05709103 0.01484008 0.0171 0.23193277 0.20933933
222+
4: 1952-12-01 0.05522191 0.02216598 0.0209 0.22202729 0.21159354
223+
5: 1953-03-01 0.05455042 0.02152118 0.0201 0.26058722 0.20915790
224224
---
225-
256: 2015-12-01 0.02191273 -0.02350179 0.0023 0.07466284 0.03635076
226-
257: 2016-03-01 0.02265601 -0.02321807 0.0029 0.11699368 0.03867995
227-
258: 2016-06-01 0.02307582 -0.01823511 0.0027 0.11884748 0.04969115
228-
259: 2016-09-01 0.02297658 -0.01942223 0.0029 0.10353283 0.04688330
229-
260: 2016-12-01 0.02284611 -0.01902802 0.0051 0.11910203 0.04447305
225+
260: 2016-12-01 0.02284466 -0.01902802 0.0051 0.11899389 0.04744519
226+
261: 2017-03-01 0.02185142 -0.02168661 0.0074 0.01294375 0.03640904
227+
262: 2017-06-01 0.02147595 -0.02432134 0.0098 0.07365837 0.02737347
228+
263: 2017-09-01 0.02132813 -0.02799587 0.0103 0.08875791 0.01958676
229+
264: 2017-12-01 0.02075782 -0.02490222 0.0132 0.12023222 0.01966250
230230
>
231231
>
232232
> p0 <- dt_plot[, .(date, dp, cay, rf, rmrf_y3) ] %>%
@@ -256,4 +256,4 @@ Notes: ***Significant at the 1 percent level.
256256
>
257257
> proc.time()
258258
user system elapsed
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3.096 0.328 4.087
259+
2.456 0.224 2.887

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