britten.jones: britten.jones

britten.jonesR 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 July 16, 2024, 9:58 p.m.