r-针对多家公司和多个日期的事件研究，带有for循环

Question

我正在使用erer包中的evReturn函数进行事件研究。其目的是获得每个公司的异常回报，并对所有公司的异常收益进行平均。我无法获得平均回报，因为该函数为每个公司单独执行，但不会同时为所有公司执行，尽管这在for循环中是可能的。我好像搞不清楚。

我试过这种方法：

1.

install.packages("erer")
library(erer)
i <- 1
hh2 <- list()
for(i in 1:3){
firms <- names(dataset4)[i+1]
dates <- eventdates2[i]
print(firms)
print(dates)
print(i)
hh2[[i]] <- 
evReturn(y=dataset4, firm = firms, event.date=dates, y.date="Timestamp",
index="NASDAQ", event.win = 3, est.win= 250, digits=4)
}

来自package erer的示例，daEsa是包含在该包中的数据集。

# event analysis for one firm and one event window
hhreturn <- evReturn(y = daEsa, firm = "wpp", y.date = "date", 
index = "sp500", est.win = 250, digits = 3, event.date = 19990505, 
event.win = 5) 
# event analysis for many firms and one event window
hh2return2 <- update(hhreturn, firm = c("tin", "wy", "pcl", "pch"))
# event analysis for many firms and many event windows: need a for loop

最后一条评论正是我所需要的。

Answer 1

多个日期：

hh2 <- list()
for(i in c(daEsa$date[3000], daEsa$date[3001])){
firms <- colnames(daEsa)[12:ncol(daEsa)]
print(firms)
print(i)
hh2[[i]] <- 
evReturn(y=daEsa, firm = firms, event.date=i, y.date="date",
index="sp500", event.win = 2, est.win= 250, digits=4)
}

多个事件窗口(非日期(：

hh2 <- list()
for(i in c(2, 3)){
firms <- colnames(daEsa)[12:ncol(daEsa)]
print(firms)
print(i)
hh2[[i]] <- 
evReturn(y=daEsa, firm = firms, event.date=daEsa$date[3000], y.date="date",
index="sp500", event.win = i, est.win= 250, digits=4)
}

[1] "pch" "pcl" "pop" "tin" "wpp" "wy" 
[1] 2
[1] "pch" "pcl" "pop" "tin" "wpp" "wy" 
[1] 3