.fit.gets | R Documentation |
tidyfit
Fits a general-to-specific (GETS) regression on a 'tidyFit' R6
class. The function can be used with regress
.
## S3 method for class 'gets'
.fit(self, data = NULL)
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). |
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.
A fitted 'tidyFit' class model.
Johann Pfitzinger
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.
.fit.robust
, .fit.glm
and m
methods
# 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)
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