linearmodels.asset_pricing.results.LinearFactorModelResults

class LinearFactorModelResults(results)[source]

Model results from a Linear Factor Model.

Parameters
resultsdict[str, any]

A dictionary of results from the model estimation.

Attributes
alphas

Mispricing estimates

betas

Estimated factor loadings

cov

Estimated covariance of parameters

cov_estimator

Type of covariance estimator used to compute covariance

full_summary

Complete summary including factor loadings and mispricing measures

j_statistic

Model J statistic

name

Model type

nobs

Number of observations

params

Estimated parameters

pvalues

Parameter p-vals.

residual_ss

Residual sum of squares

risk_premia

Estimated factor risk premia (lambda)

risk_premia_se

Estimated factor risk premia standard errors

risk_premia_tstats

Risk premia t-statistics

rsquared

Coefficient of determination (R**2)

std_errors

Estimated parameter standard errors

summary

Model estimation summary.

total_ss

Total sum of squares

tstats

Parameter t-statistics

Methods

Properties

alphas

Mispricing estimates

betas

Estimated factor loadings

cov

Estimated covariance of parameters

cov_estimator

Type of covariance estimator used to compute covariance

full_summary

Complete summary including factor loadings and mispricing measures

j_statistic

Model J statistic

name

Model type

nobs

Number of observations

params

Estimated parameters

pvalues

Parameter p-vals.

residual_ss

Residual sum of squares

risk_premia

Estimated factor risk premia (lambda)

risk_premia_se

Estimated factor risk premia standard errors

risk_premia_tstats

Risk premia t-statistics

rsquared

Coefficient of determination (R**2)

std_errors

Estimated parameter standard errors

summary

Model estimation summary.

total_ss

Total sum of squares

tstats

Parameter t-statistics