britten.jones: britten.jones
In vsrimurthy/EPFR: EPFR Quantitative Research Environment
britten.jones R Documentation
britten.jones
Description
transforms the design matrix as set out in Britten-Jones, M., Neuberger , A., & Nolte, I. (2011). Improved inference in regression with overlapping observations. Journal of Business Finance & Accounting, 38(5-6), 657-683.
Usage
britten.jones(x, y)
Arguments
x
= a matrix
y
= constitutent lagged returns that go into the first period
See Also
Other britten: britten.jones.data.stack,
britten.jones.data
vsrimurthy/EPFR documentation built on Oct. 24, 2024, 11:54 p.m.
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| britten.jones | R Documentation |
britten.jones
Description
transforms the design matrix as set out in Britten-Jones, M., Neuberger , A., & Nolte, I. (2011). Improved inference in regression with overlapping observations. Journal of Business Finance & Accounting, 38(5-6), 657-683.
Usage
britten.jones(x, y)
Arguments
x |
= a matrix |
y |
= constitutent lagged returns that go into the first period |
See Also
Other britten: britten.jones.data.stack,
britten.jones.data
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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