penfmbr: penfmbr: Plain FamaMacBeth and Penalized FamaMacBeth...
In erikcs/penfmbr: Penalized FamaMacBeth
Description
For the penalized FamaMacBeth, the level tuning parameter is set to the
average of the residual standard deviation from the first stage. The
dimensionalty paramter is 4 by default, and individual penalty weights are
calculated as the Fisher transform of partial correlations.
Details
'returns' and 'factors' are two containers with equal number of observations
(aligned) that can be coerced to a matrix.
Both estimators return a crudely hacked together sublass of 'lm' that plays
nicely with 'stargazer'.
'vcov' can return either Shanken or GMM standard errors. For a 'penfmb'
instance, the bootstrapped shrinkage rate is returned.
erikcs/penfmbr documentation built on June 6, 2019, 12:25 p.m.
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Description
For the penalized FamaMacBeth, the level tuning parameter is set to the average of the residual standard deviation from the first stage. The dimensionalty paramter is 4 by default, and individual penalty weights are calculated as the Fisher transform of partial correlations.
Details
'returns' and 'factors' are two containers with equal number of observations (aligned) that can be coerced to a matrix. Both estimators return a crudely hacked together sublass of 'lm' that plays nicely with 'stargazer'.
'vcov' can return either Shanken or GMM standard errors. For a 'penfmb' instance, the bootstrapped shrinkage rate is returned.
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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