Description Usage Arguments Details Value Author(s) See Also Examples
summary
method for object of class sfm
.
Returned object is of class summary.sfm.
1 2 3 4 5 6 |
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". |
n.top |
scalar; number of largest and smallest weights to display for each factor mimicking portfolio. Default is 3. |
... |
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. |
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
.
Returns an object of class summary.sfm
.
The print method for class summary.sfm
outputs the call,
coefficients (with standard errors and t-statistics), r-squared and
residual volatilty (under the homoskedasticity assumption) for all assets as
well as a summary of the factor mimicking portfolio weights.
Object of class summary.sfm
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 for the N fit objects of class |
mimic.sum |
list of data.frame objects containing |
Sangeetha Srinivasan
1 2 3 4 5 6 | data(StockReturns)
# fit the factor model with PCA
fit <- fitSfm(r.M, k=2)
# summary of factor model fit for all assets
summary(fit, "HAC")
|
Add the following code to your website.
For more information on customizing the embed code, read Embedding Snippets.