[R-sig-finance] using yahoo and other data to calculate CAPM and FF betas

[Gabor Grothendieck]

ince I wrote the post below a new version of zoo came
out.  One addition is the na.trim function which adds a fifth NA
handling routine, na.trim, to the prior four illustrated in my last
post.  It trims leading and/or trailing NAs but leaves others
as is:

> library(zoo)
> zz <- zoo(c(NA,1,NA,3,NA,5,NA))
> na.trim(zz)
 2  3  4  5  6
 1 NA  3 NA  5

On 4/6/06, Gabor Grothendieck <ggrothendieck at gmail.com> wrote:
> I mentioned omitting the missing values via na.omit and the poster
> below mentioned using linear approximation.  Note that
> the zoo package actually has 4 missing value routines:
>
> na.omit - omit missing values
> na.approx - replace missing values with linear approximations
> na.locf - replace missing values with the last occurrernce carried forward
> na.contiguous - remove all but a contiguous stretch of non-missing values
>
> > library(zoo)
> > z <- zoo(c(1,NA,3,NA,5))
> > na.omit(z)
> 1 3 5
> 1 3 5
> > na.locf(z)
> 1 2 3 4 5
> 1 1 3 3 5
> > na.approx(z)
> 1 2 3 4 5
> 1 2 3 4 5
> > na.contiguous(z)
> 3
> 3
>
>
> On 4/6/06, Krishna Kumar <kriskumar at earthlink.net> wrote:
> > Gabor Grothendieck wrote:
> >
> > >On 4/6/06, Andrew West <jgalt70 at yahoo.com> wrote:
> > >
> > >
> > >>I haven't been able to figure
> > >>out how to prevent the function from crashing when one
> > >>of the companies in the list has a late start or
> > >>missing data. Aligning multiple time series into a
> > >>panel data dataframe is tough for non-programmers like
> > >>me!
> > >>
> > >>
> > >
> > >If t1 and t2 are two ts class time series or two zoo series
> > >then cbind(t1, t2) will create a multivariate series (2 columns)
> > >In the case of zoo, merge(t1, t2) will also work.
> > >
> > >na.omit(cbind(t1, t2)) or na.omit(merge(t1,t2))
> > >will eliminate rows that have any NAs in the case of zoo series.
> > >
> > >_______________________________________________
> > >R-sig-finance at stat.math.ethz.ch mailing list
> > >https://stat.ethz.ch/mailman/listinfo/r-sig-finance
> > >
> > >
> > >
> >
> > To add to Gabor's suggestion you could do the following to get an
> > approximated series..
> > so if mydata is a vector with "NA" 's then doing
> >
> >  >mydata<-approx(mydata,xout=seq(along=mydata))$y
> >
> > this would approximate the series and then you can do a ts.union
> >
> > Also there was a very interesting paper that showed that the Fama-French
> > effect was not really a anamoly when you estimate using
> >  Robust regression instead of OLS. I can't remember the reference but it
> > was Doug Martin and someone else from UW ...
> > R has some nice facilities with rrcov to do the robust regressions!!
> >
> > Best,
> > Krishna
> >
> >
> >
> >
>