fm: Fama-Macbeth regression
In eguidotti/eap: Guidotti Miscellaneous
fm R Documentation
Fama-Macbeth regression
Description
Fama-Macbeth regression
Usage
fm(x, formula, by, weights = NULL, nmin = 0)
Arguments
x
a data.table
formula
an object of class "formula" (or one that can be coerced to that class): a symbolic description of the model to be fitted. See lm.
by
character vector specifying the column that contains the time index for cross-sectional regressions.
weights
an optional vector of weights to be used in the fitting process. See lm.
nmin
the minimum number of observations for each cross-sectional regression.
Value
data.table of time-varying regression coefficients
eguidotti/eap documentation built on Sept. 4, 2024, 3:43 a.m.
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| fm | R Documentation |
Fama-Macbeth regression
Description
Fama-Macbeth regression
Usage
fm(x, formula, by, weights = NULL, nmin = 0)
Arguments
x |
a |
formula |
an object of class |
by |
character vector specifying the column that contains the time index for cross-sectional regressions. |
weights |
an optional vector of weights to be used in the fitting process. See |
nmin |
the minimum number of observations for each cross-sectional regression. |
Value
data.table of time-varying regression coefficients
R Package Documentation
Browse R Packages
We want your feedback!
Note that we can't provide technical support on individual packages. You should contact the package authors for that.
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