rrw: rrw

In vsrimurthy/EPFR: EPFR Quantitative Research Environment

rrw

Description

regression results

Usage

rrw(x, y, n, w, h, u, v, g = NULL, r)

Arguments

x	= a YYYYMM (first-return date, backtest start)
y	= a YYYYMM (first-return date, backtest end)
n	= a variable vector (to regress return against)
w	= a universe (e.g. "R1Mem", or c("EafeMem", 1, "CountryCode", "JP"))
h	= a variable (neutrality group)
u	= a variable (return)
v	= a folder (must have sub-folders data/derived)
g	= a variable (to orthogonalize against)
r	= classif file

See Also

Other rrw: rrw.factors, rrw.underlying

vsrimurthy/EPFR documentation built on Sept. 19, 2024, 4:01 a.m.