estimate_model: Estimate Model Coefficients

In tidyfinance: Tidy Finance Helper Functions

Estimate Model Coefficients

Description

This function estimates the coefficients of a linear model specified by one or more independent variables. It checks for the presence of the specified independent variables in the dataset and whether the dataset has a sufficient number of observations. It returns the model's coefficients as either a numeric value (for a single independent variable) or a data frame (for multiple independent variables).

Usage

estimate_model(data, model, min_obs = 1)

Arguments

data	A data frame containing the dependent variable and one or more independent variables.
model	A character that describes the model to estimate (e.g. "ret_excess ~ mkt_excess + hmb + sml").
min_obs	The minimum number of observations required to estimate the model. Defaults to 1.

Value

A data frame with a row for each coefficient and column names corresponding to the independent variables.

See Also

stats::lm() for details on the underlying linear model fitting used.

Examples

data <- data.frame(
  ret_excess = rnorm(100),
  mkt_excess = rnorm(100),
  smb = rnorm(100),
  hml = rnorm(100)
)

# Estimate model with a single independent variable
estimate_model(data, "ret_excess ~ mkt_excess")

# Estimate model with multiple independent variables
estimate_model(data, "ret_excess ~ mkt_excess + smb + hml")

# Estimate model without intercept
estimate_model(data, "ret_excess ~ mkt_excess - 1")

tidyfinance documentation built on April 3, 2025, 6:10 p.m.