I am trying to figure out the 'factorAnalytics' package from R-Forge. Everything seems to load fine, but when i try to walk through an example, I cannot load the data.
install.packages("factorAnalytics", repos="http://R-Forge.R-project.org")
This works fine and everything is installed. I now try to walk through the example in the vignette:
# Load fundamental and return data
data(Stock.df)
# fit a fundamental factor model
exposure.vars <- c("BOOK2MARKET", "LOG.MARKETCAP")
fit <- fitFfm(data=stock, asset.var="TICKER", ret.var="RETURN",
date.var="DATE", exposure.vars=exposure.vars)
names(fit)
Which provides this:
Warning message:
In data(Stock.df) : data set ‘Stock.df’ not found
But if I run this:
data(package = "factorAnalytics")
I see that the dataset should be there...
Data sets in package ‘factorAnalytics’:
factors.M (CommonFactors) Factor set of several commonly used factors
factors.Q (CommonFactors) Factor set of several commonly used factors
managers Hypothetical Alternative Asset Manager and Benchmark Data
r.M (StockReturns) Stock Return Data
r.W (StockReturns) Stock Return Data
stock (Stock.df) Fundamental and return data for 447 NYSE stocks
tr.yields (TreasuryYields) Treasury yields at different maturities
So what am I missing??
I am an idiot. I did not include the library after installing the package. Sorry all.
I just ran this: