linearmodels.asset_pricing.model.LinearFactorModel.fit

LinearFactorModel.fit(cov_type='robust', debiased=True, **cov_config)[source]

Estimate model parameters

Parameters
cov_typestr

Name of covariance estimator

debiasedbool

Flag indicating whether to debias the covariance estimator using a degree of freedom adjustment

**cov_config

Additional covariance-specific options. See Notes.

Returns
LinearFactorModelResults

Results class with parameter estimates, covariance and test statistics

Notes

The kernel covariance estimator takes the optional arguments kernel, one of “bartlett”, “parzen” or “qs” (quadratic spectral) and bandwidth (a positive integer).

Return type

LinearFactorModelResults