Description Usage Arguments Details Value Author(s) See Also Examples
summary
method for object of class tsfm
.
Returned object is of class summary.tsfm.
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object |
an object of class |
se.type |
one of "Default", "HC" or "HAC"; option for computing HC/HAC standard errors and t-statistics. Default is "Default". |
... |
futher arguments passed to or from other methods. |
x |
an object of class |
digits |
number of significants digits to use when printing. Default is 3. |
labels |
option to print labels and legend in the summary. Default is
|
The default summary
method for a fitted lm
object
computes the standard errors and t-statistics under the assumption of
homoskedasticty. Argument se.type
gives the option to compute
heteroskedasticity-consistent (HC) or
heteroskedasticity-autocorrelation-consistent (HAC) standard errors and
t-statistics using coeftest
. This option is meaningful
only if fit.method = "LS" or "DLS"
.
Standard errors are currently not available for
variable.selection="lars"
as there seems to be no consensus on a
statistically valid method of calculating standard errors for the lasso
predictions.
Returns an object of class summary.tsfm
.
The print method for class summary.tsfm
outputs the call,
coefficients (with standard errors and t-statistics), r-squared and
residual volatilty (under the homoskedasticity assumption) for all assets.
Object of class summary.tsfm
is a list of length N + 2 containing:
call |
the function call to |
se.type |
standard error type as input |
sum.list |
list of summaries of the N fit objects (of class |
Sangeetha Srinivasan & Yi-An Chen.
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