Run Code Version2.R

In ZhenWei10/Sherry-Chapter1:

library(SherryChapter1)
setwd("/Users/zhenwei/Documents/GitHub/SherryChapter1/Data_all")
#Check file existence
stock = c("MSFT","SPY","XRX")
sampling_inval = c(5,30,60,300,1800)
for ( i in stock ){
  for (j in sampling_inval){
    print(file.exists(paste0(i," ",j," Sec Summary Return Data.dta")))
  }
}

for ( i in stock ){
  for (j in sampling_inval){
    print(file.exists(paste0(i, " ", j, " Sec my daily.dta")))
    print(file.exists(paste0(i, "C ", j, " Sec my daily.dta")))
    print(file.exists(paste0(i, "D ", j, " Sec my daily.dta")))
  }
}

#Formal run model matrix
setwd("/Users/zhenwei/Documents/GitHub/SherryChapter1/Data_all")

stock = c("MSFT","SPY","XRX")
sampling_inval = c(1800,300,60,30,5)
for ( i in stock ){
  for (j in sampling_inval){
    SherryChapter1::Model_Matrix_generation(
      All_dta_dir = paste0(i," ",j," Sec Summary Return Data.dta"),
      RV_raw_dta_dir = paste0(i, " ", j, " Sec my daily.dta"),
      RV_C_dta_dir = paste0(i, "C ", j, " Sec my daily.dta"),
      RV_D_dta_dir = paste0(i, "D ", j, " Sec my daily.dta"),
      sec = j,
      sub_title = paste0(i," ",j," Sec"),
      save_dir = paste0(i,"_",j),
      peak_param = c(0.98,0.98),
      #acf = (j!=5),
      acf = F,
      mixreg = (j!=1800)
    )
  }
}

setwd("/Users/zhenwei/Documents/GitHub/Sherry-Chapter1/Results_2.6/Results_raw")
folders <- grep(".dta", list.files(), invert = T, value = T)

library(magrittr)

for (i in folders){
  file.path(i,"MM_fD_RV.csv") %>% read.csv -> MM_i
  MM_i %>% LR_Statistics %>% write.csv(.,file.path(i,paste0(i,"_OLS_Statistics.csv")))
  rm(MM_i)
}

for (i in folders){
  file.path(i,"MM_fD_RV.csv") %>% read.csv -> MM_i
  MM_i %>% GMM_Statistics %>% write.csv(.,file.path(i,paste0(i,"_GMM_Statistics.csv")))
  rm(MM_i)
}

for (i in folders){
  file.path(i,"MM_fD_RV.csv") %>% read.csv -> MM_i
  MM_i %>% ROB_Statistics %>% write.csv(.,file.path(i,paste0(i,"_ROB_Statistics.csv")))
  rm(MM_i)
}

i = "XRX_1800"
file.path(i,"MM_fC_RV.csv") %>% read.csv -> MM_i
MM_i %>% MED_Statistics %>% write.csv(.,file.path(i,paste0(i,"_MED_Statistics.csv")))
rm(MM_i)

path_all_stat = file.path("/Users/zhenwei/Documents/GitHub/Sherry-Chapter1","All_Statistics")
if(!dir.exists(path_all_stat)) dir.create(path_all_stat)
for( i in folders){
  for( j in c("OLS","GMM","ROB","MED") ){
    file.link( file.path(i, paste0(i, "_", j, "_Statistics.csv")),
               file.path(path_all_stat, paste0(i, "_", j, "_Stat.csv")))
  }
}