linearmodels.asset_pricing.model.LinearFactorModel.fit¶
-
LinearFactorModel.fit(cov_type: str =
'robust'
, debiased: bool =True
, **cov_config: bool | int | str) LinearFactorModelResults [source]¶ Estimate model parameters
- Parameters:¶
- Returns:¶
Results class with parameter estimates, covariance and test statistics
- Return type:¶
Notes
The kernel covariance estimator takes the optional arguments
kernel
, one of “bartlett”, “parzen” or “qs” (quadratic spectral) andbandwidth
(a positive integer).