specFfm: Specifies the elements of a fundamental factor model

In braverock/factorAnalytics: Factor Analytics for Asset Return Data

Specifies the elements of a fundamental factor model

Description

Factor models have a few parameters that describe how the fitting is done. This function summarizes them and returns a spec object for cross-sectional regressions. It also preps the data. An object of class "ffmSpec" is returned.

Usage

specFfm(
  data,
  asset.var,
  ret.var,
  date.var,
  exposure.vars,
  weight.var = NULL,
  addIntercept = FALSE,
  rob.stats = FALSE
)

Arguments

data	data.frame of the balanced panel data containing the variables asset.var, ret.var, exposure.vars, date.var and optionally, weight.var.
asset.var	character; name of the variable for asset names.
ret.var	character; name of the variable for asset returns.
date.var	character; name of the variable containing the dates coercible to class Date.
exposure.vars	vector; names of the variables containing the fundamental factor exposures.
weight.var	character; name of the variable containing the weights used when standarizing style factor exposures. Default is NULL. See Details.
addIntercept	logical; If TRUE, intercept is added in the exposure matrix. Default is FALSE,
rob.stats	logical; If TRUE, robust estimates of covariance, correlation, location and univariate scale are computed as appropriate (see Details). Default is FALSE.

braverock/factorAnalytics documentation built on March 2, 2024, 11:17 p.m.