dot-fit.gets: General-to-specific regression for 'tidyfit'

In tidyfit: Regularized Linear Modeling with Tidy Data

General-to-specific regression for tidyfit

Description

Fits a general-to-specific (GETS) regression on a 'tidyFit' R6 class. The function can be used with regress.

Usage

## S3 method for class 'gets'
.fit(self, data = NULL)

Arguments

self	a 'tidyFit' R6 class.
data	a data frame, data frame extension (e.g. a tibble), or a lazy data frame (e.g. from dbplyr or dtplyr).

Details

Hyperparameters:

None. Cross validation not applicable.

Important method arguments (passed to m)

• max.paths (Number of paths to search)

The function provides a wrapper for gets::gets. See ?gets for more details.

Implementation

Print output is suppressed by default. Use 'print.searchinfo = TRUE' for print output.

Value

A fitted 'tidyFit' class model.

Author(s)

Johann Pfitzinger

References

Pretis F, Reade JJ, Sucarrat G (2018). Automated General-to-Specific (GETS) Regression Modeling and Indicator Saturation for Outliers and Structural Breaks. Journal of Statistical Software 86(3), 1-44.

See Also

.fit.robust, .fit.glm and m methods

Examples

# Load data
data <- tidyfit::Factor_Industry_Returns

# Stand-alone function
fit <- m("gets", Return ~ `Mkt-RF` + HML + SMB, data)
fit

# Within 'regress' function
fit <- regress(data, Return ~ ., m("gets"), .mask = c("Date", "Industry"))
coef(fit)

tidyfit documentation built on Oct. 3, 2024, 5:06 p.m.