.fit.lm | R Documentation |
tidyfit
Fits a linear regression on a 'tidyFit' R6
class. The function can be used with regress
.
## S3 method for class 'lm'
.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
)
The function provides a wrapper for stats::lm
. See ?lm
for more details.
Implementation
An argument vcov.
can be passed in control or to ...
in m
to estimate the model with robust standard errors. vcov.
can be one of "BS", "HAC", "HC" and "OPG" and is passed to the sandwich
package.
A fitted 'tidyFit' class model.
Johann Pfitzinger
.fit.robust
, .fit.glm
and m
methods
# Load data
data <- tidyfit::Factor_Industry_Returns
# Stand-alone function
fit <- m("lm", Return ~ `Mkt-RF` + HML + SMB, data)
fit
# Within 'regress' function
fit <- regress(data, Return ~ ., m("lm"), .mask = c("Date", "Industry"))
coef(fit)
# With robust standard errors
fit <- m("lm", Return ~ `Mkt-RF` + HML + SMB, data, vcov. = "HAC")
fit
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