model_build_fundamental: Creator of factor_test_uniregress class

In chriszheng2016/zstmodelr: Stock Factor Models for China Stock Market Investment

Description

Conduct univariate regression test for descriptors of factors and build object of factor_test_uniregress class as output.

Usage

model_build_fundamental(
  ds_build,
  regress_method = c("cross_section", "pooling"),
  regress_fun,
  ...,
  output_type = c("summary", "raw"),
  date_field = "date"
)

Arguments

ds_build	A timeseries dataset with descriptors of factors for test
regress_method	method of partitioning data for regression, i.e. "cross_section", "pooling", by default "cross_section".
regress_fun	A function to conduct regress.
...	Arguments passed to regress_fun.
output_type	Type of output data, i.e."summary", "raw", if "raw", raw data will be append to output object for diagnosis.
date_field	Name of date field of ds_test, by default "date", Column must be date-like.

Value

            A object of factor_test_uniregress class.

chriszheng2016/zstmodelr documentation built on June 13, 2021, 8:59 p.m.