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