summary method for object of class ffm.
Returned object is of class summary.ffm.
# S3 method for ffm
summary(object, ...)# S3 method for summary.ffm
print(x, digits = 3, labels = TRUE, ...)
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:
the function call to fitFfm
list of summaries of the T fit objects (of class lm or
lmRob) for each time period in the factor model.
an object of class ffm returned by fitFfm.
futher arguments passed to or from other methods.
an object of class summary.ffm.
number of significant digits to use when printing. Default is 3.
option to print labels and legend in the summary. Default is
TRUE. When FALSE, only the coefficient matrx with standard
errors is printed.
Sangeetha Srinivasan & Yi-An Chen.
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.
fitFfm, summary.lm