[R-SIG-Finance] Hasbroucks Information Share in R

[Brian G. Peterson]

On 07/10/2012 10:25 PM, Drew Harris wrote:
> I am a recent R converter so please bare with me if I ask any stupid
> questions. I am open to both constructive criticism and blatant mockery. I
> have been working on converting the Joel Hasbrouck Information share code
> originally for SAS and Implementing it into R. I have a working code but
> for some reason I am about 10% of the actual values, if there is anyone
> more experienced in this area I would much appreciate any advice availlable.

Drew,

Thanks for taking the time to provide code and describe your problem, 
but what you've provided isn't reproducible.

You'll need to provide a small data set and expected results (presumably 
from the SAS code) before anyone will be able to examine your code and 
sort out why they differ.

You say 'about 10%', so I assume that this doesn't mean 'precisely 10%' 
which would likely be a simple multiplier change.

Have you looked at all the intermediary steps in the original SAS code 
and compared these to the R code?  obviously this won't be possible at 
every step. but I'd assume it should be at most.

etc etc etc.

much easier to help if people had data to compare to.

Regards,

    - Brian

-- 
Brian G. Peterson
http://braverock.com/brian/
Ph: 773-459-4973
IM: bgpbraverock