R: Summarizing a fitted fundamental factor model

summary.ffm {facmodCS}

R Documentation

Summarizing a fitted fundamental factor model

Description

summary method for object of class ffm. Returned object is of class summary.ffm.

Usage

## S3 method for class 'ffm'
summary(object, ...)

## S3 method for class 'summary.ffm'
print(x, digits = 3, labels = TRUE, ...)

Arguments

`object`	an object of class `ffm` returned by `fitFfm`.
`...`	futher arguments passed to or from other methods.
`x`	an object of class `summary.ffm`.
`digits`	number of significant digits to use when printing. Default is 3.
`labels`	option to print labels and legend in the summary. Default is `TRUE`. When `FALSE`, only the coefficient matrx with standard errors is printed.

Details

The default summary method for a fitted lm object computes the standard errors and t-statistics under the assumption of homoscedasticity.

Note: This gives a summary of the fitted factor returns at each time period. If T is large, you might prefer the more succinct summary produced by print.ffm.

Value

Returns an object of class summary.ffm. The print method for class summary.ffm outputs the call, coefficients (with standard errors and t-statistics), r-squared and residual volatilty (under the homoskedasticity assumption) for all assets.

Object of class summary.ffm is a list of length N + 2 containing:

`call`	the function call to `fitFfm`
`sum.list`	list of summaries of the T fit objects (of class `lm` or `lmRob`) for each time period in the factor model.

Author(s)

Sangeetha Srinivasan & Yi-An Chen.