Two_Pass_Regression {BayesianFactorZoo} | R Documentation |
This function provides the frequentist Fama-MacBeth Two-Pass Regression.
Two_Pass_Regression(f, R)
f |
A matrix of factors with dimension |
R |
A matrix of test assets with dimension |
See Chapter 12.2 in Cochrane (2009). t_stat
and t_stat_gls
are t-statistics of OLS and GLS risk premia estimates based on the asymptotic standard errors in equation (12.19) in
Cochrane (2009).
The return of Two_Pass_Regression
is a list of the following elements:
lambda: Risk premia estimates in the OLS two-pass regression;
lambda_gls: Risk premia estimates in the GLS two-pass regression;
t_stat: The t-statistics of risk premia estimates in the OLS two-pass regression;
t_stat_gls: The t-statistics of risk premia estimates in the GLS two-pass regression;
R2_adj: Adjusted R2
in the OLS two-pass regression;
R2_adj_GLS: Adjusted R2
in the GLS two-pass regression.
Cochrane J (2009). Asset pricing: Revised edition. Princeton University Press.