Two_Pass_Regression

This function provides the frequentist Fama-MacBeth Two-Pass Regression.

Contains the functions to use the econometric methods in the paper Bryzgalova, Huang, and Julliard (2023) <doi:10.1111/jofi.13197>. In this package, we provide a novel Bayesian framework for analyzing linear asset pricing models: simple, robust, and applicable to high-dimensional problems. For a stand-alone model, we provide functions including BayesianFM() and BayesianSDF() to deliver reliable price of risk estimates for both tradable and nontradable factors. For competing factors and possibly nonnested models, we provide functions including continuous_ss_sdf(), continuous_ss_sdf_v2(), and dirac_ss_sdf_pvalue() to analyze high-dimensional models. If you use this package, please cite the paper. We are thankful to Yunan Ding and Jingtong Zhang for their research assistance. Any errors or omissions are the responsibility of the authors.

Jiantao Huang

BayesianFactorZoo

Bayesian Solutions for the Factor Zoo: We Just Ran Two
Quadrillion Models

Svetlana Bryzgalova

Christian Julliard

Two_Pass_Regression function

<dl><dt>f</dt>
<dd>A matrix of factors with dimension \(t \times k\), where \(k\) is the number of factors
and \(t\) is the number of periods;</dd>
<dt>R</dt>
<dd>A matrix of test assets with dimension \(t \times N\), where \(t\) is the number of periods
and \(N\) is the number of test assets;</dd></dl>

Arguments

Fama MacBeth Two-Pass Regression — Two_Pass_Regression

<dl>

<dt>f</dt>
<dd>A matrix of factors with dimension \(t \times k\), where \(k\) is the number of factors
and \(t\) is the number of periods;</dd>


<dt>R</dt>
<dd>A matrix of test assets with dimension \(t \times N\), where \(t\) is the number of periods
and \(N\) is the number of test assets;</dd>

</dl>

Two_Pass_Regression: Fama MacBeth Two-Pass Regression

Description

Usage

Value

Arguments

Details

References