R/summary.tsfmUpDn.R

In facmodTS: Time Series Factor Models for Asset Returns

#' @title Summarizing a fitted up and down market time series factor model
#' 
#' @description \code{summary} method for object of class \code{tsfmUpDn}. 
#' Returned object is of class \code{summary.tsfmUpDn}. This function provides a \code{summary}
#' method to an object returned by a wrapper function \code{fitTsfmUpDn}.
#' 
#' @details Since \code{fitTsfmUpDn} fits both up market and down market,
#' \code{summary.tsfmUpDn} applies \code{summary.tsfm} for both markets fitted 
#' objects and combines the coefficients interested together. 
#' 
#'   
#' @param object an object of class \code{tsfmUpDn} returned by \code{fitTsfmUpDn}.
#' @param ... futher arguments passed to or from \code{summary.tsfm} methods.
#' @param x an object of class \code{summary.tsfmUpDn}.
#' @param digits number of significants digits to use when printing. 
#' Default is 3.
#' 
#' @return Returns an object of class \code{summary.tsfmUpDn}. This object contains 
#' a list object of \code{Up} and \code{Dn} for up market and down market respectively.
#'    
#' The print method for class \code{summary.tsfmUpDn} outputs the call, 
#' coefficients (with standard errors and t-statistics), r-squared and 
#' residual volatilty (under the homoskedasticity assumption) for all assets in up and 
#' down market. 
#' 
#' Object of class \code{summary.tsfmUpDn} is a list of 2 containing:
#' \item{Up}{A list of the up market fitted object. It is a class of \code{summary.tsfm}}
#' \item{Dn}{A list of the down market fitted object. It is a class of \code{summary.tsfm}} 
#' 
#' @author Yi-An Chen and Sangeetha Srinivasan.
#' 
#' @seealso \code{\link{fitTsfmUpDn}}, \code{\link{summary.tsfm}}
#' 
#' @method summary tsfmUpDn
#' @export

summary.tsfmUpDn <- function(object,...) {
  # check input object validity
  if (!inherits(object, "tsfmUpDn")) {
    stop("Invalid 'tsfmUpDn' object")
  }
  uD.list <- lapply(object,summary,...)
  class(uD.list) <- "summary.tsfmUpDn" 
  return(uD.list)
}  
#' @rdname summary.tsfmUpDn
#' @method print summary.tsfmUpDn
#' @export


print.summary.tsfmUpDn <- function(x, digits=3, ...) {
  if(!is.null(cl <- x$Up$call)) {
    cat("\nCall:\n")
    dput(cl)
  }
  oldoptions <- options()
  on.exit(options(oldoptions))
  cat("\nFactor Model Coefficients:\n", sep="")
  n <- length(x$Up$sum.list)
  for (i in 1:n) {
    options(digits = digits)  
    table.coef.Up <- (x$Up$sum.list)[[i]]$coefficients
    rownames(table.coef.Up) <- sapply(rownames(table.coef.Up),function(x) paste(x,"_Up",sep="") )
    table.coef.Dn <- (x$Dn$sum.list)[[i]]$coefficients
    rownames(table.coef.Dn) <- sapply(rownames(table.coef.Dn),function(x) paste(x,"_Dn",sep="") )
    table.coef <- rbind(table.coef.Up,table.coef.Dn)
    if (dim(table.coef)[2] > 1) {
      cat("\nAsset", i, ": ", names(x$Up$sum.list[i]), "\n(", x$Up$se.type, 
          " Standard Errors & T-stats)\n\n", sep="")  
    } else {
      cat("\nAsset", i, ": ", names(x$Up$sum.list[i]), "\n\n", sep="")  
    }
    r2Up <- x$Up$sum.list[[i]]$r.squared
    sigmaUp <- x$Up$sum.list[[i]]$sigma
    r2Dn <- x$Dn$sum.list[[i]]$r.squared
    sigmaDn <- x$Dn$sum.list[[i]]$sigma
    printCoefmat(table.coef, digits=digits,...)
    cat("\n R-squared_Up: ", r2Up,", Residual Volatility_Up: ", sigmaUp,"\n",
        "R-squared_Dn: ", r2Dn,", Residual Volatility_Dn: ", sigmaDn)
  }
}