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

Brian G. Peterson brian at braverock.com
Wed Jul 11 15:31:57 CEST 2012

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.


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.


    - Brian

Brian G. Peterson
Ph: 773-459-4973
IM: bgpbraverock

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