BFactor_zoo_example {BayesianFactorZoo}

Simulated Example Dataset 'BFactor_zoo_example'

Description

A simulated dataset used in Figure 1 of Bryzgalova et al. (2023).

Usage

data("BFactor_zoo_example")

Format

A list consisting of the following variables:

HML

High-minus-low value factor, from Ken French Website

lambda_ols

Hypothetical true risk prices of factors in simulations

R2.ols.true

Hypothetical true OLS R-squared in simulations

sim_f

Simulated strong factor

sim_R

Simulated test asset returns

uf

Simulated weak/unspanned factor

W_ols

Weighting matrix used in GMM OLS estimations

Source

Section III in Bryzgalova et al. (2023).

References

Bryzgalova S, Huang J, Julliard C (2023). “Bayesian solutions for the factor zoo: We just ran two quadrillion models <https://doi.org/10.1111/jofi.13197>.” Journal of Finance, 78(1), 487–557.

Examples

data(BFactor_zoo_example)
HML <- BFactor_zoo_example$HML
lambda_ols <- BFactor_zoo_example$lambda_ols
R2.ols.true <- BFactor_zoo_example$R2.ols.true
sim_f <- BFactor_zoo_example$sim_f
sim_R <- BFactor_zoo_example$sim_R
uf <- BFactor_zoo_example$uf
W_ols <- BFactor_zoo_example$W_ols

cat("Load the simulated example \n")
cat("Cross-section: Fama-French 25 size and value portfolios \n")
cat("True pricing factor in simulations: HML \n")
cat("Misspecified model with pseudo-true R-squared:", R2.ols.true, "\n")
cat("Pseudo-true (monthly) risk price:", lambda_ols[2], "\n")