linearmodels.asset_pricing.model.LinearFactorModelGMM.from_formula¶
-
classmethod LinearFactorModelGMM.from_formula(formula: str, data: DataFrame, *, portfolios: DataFrame | None =
None
, risk_free: bool =False
) LinearFactorModelGMM [source]¶ - Parameters:¶
- formula: str¶
Formula modified for the syntax described in the notes
- data: DataFrame¶
DataFrame containing the variables used in the formula
- portfolios: DataFrame | None =
None
¶ Portfolios to be used in the model. If provided, must use formula syntax containing only factors.
- risk_free: bool =
False
¶ Flag indicating whether the risk-free rate should be estimated from returns along other risk premia. If False, the returns are assumed to be excess returns using the correct risk-free rate.
- Returns:¶
Model instance
- Return type:¶
Notes
The formula can be used in one of two ways. The first specified only the factors and uses the data provided in
portfolios
as the test portfolios. The second specified the portfolio using+
to separate the test portfolios and~
to separate the test portfolios from the factors.Examples
>>> from linearmodels.datasets import french >>> from linearmodels.asset_pricing import LinearFactorModel >>> data = french.load() >>> formula = "S1M1 + S1M5 + S3M3 + S5M1 + S5M5 ~ MktRF + SMB + HML" >>> mod = LinearFactorModel.from_formula(formula, data)
Using only factors
>>> portfolios = data[["S1M1", "S1M5", "S3M1", "S3M5", "S5M1", "S5M5"]] >>> formula = "MktRF + SMB + HML" >>> mod = LinearFactorModel.from_formula(formula, data, portfolios=portfolios)