linearmodels.asset_pricing.model.LinearFactorModelGMM

class LinearFactorModelGMM(factors, portfolios, *, risk_free=False)[source]

GMM estimator of Linear factor models

Parameters
portfoliosarray_like

Test portfolio returns (nobs by nportfolio)

factorsarray_like

Priced factors values (nobs by nfactor)

risk_freebool, optional

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.

Notes

Suitable for traded or non-traded factors.

Implements a GMM estimator of risk premia, factor loadings and model tests.

The moments are

\[\begin{split}\left[\begin{array}{c} \epsilon_{t}\otimes f_{c,t}\\ f_{t}-\mu \end{array}\right]\end{split}\]

and

\[\epsilon_{t}=r_{t}-\left[1_{N}\;\beta\right]\lambda-\beta\left(f_{t}-\mu\right)\]

where \(r_{it}\) is the return on test portfolio i and \(f_t\) are the factor returns.

The model is tested using the optimized objective function using the usual GMM J statistic.

Methods

fit(self, center, use_cue, steps, disp, …)

Estimate model parameters

from_formula(formula, data, \*, portfolios, …)

Parameters

Properties

formula