orthogonalize: Orthogonalize a set of factors with respect to some...

In gtog/dMisc: A Collection of Helper Functions for Doing Financial Data Analysis

Description

This function will regress the factor set f against 'mkt_var' in a series of single factor regressions. The function will return the an xts object that contains the intercept + residuals from regressing each of the columns of f on the mkt_var. If reconstitute is TRUE, then mkt_var will be returned in column 1. If reconstitue = FALSE, then mkt_var is not returned with the others.

Usage

orthogonalize(mkt_var, f, reconstitute = T, demean = F, inc_alphas = T)

Arguments

mkt_var	and xts vector representing the independent variable.
f	an xts object of factor variables.
reconstitute	a flag to indicate wheter the mkt_var should be returned along with the orthoganalized factors. Default is TRUE.

Value

an xts object of factors that have been orthogonalized with respect to mkt_var

gtog/dMisc documentation built on May 17, 2019, 8:57 a.m.