Module Reference¶
Linear Asset Pricing Models¶
| Linear factor model estimator |
| GMM estimator of Linear factor models |
| Linear factor models estimator applicable to traded factors |
Estimation Results¶
| Model results from a Linear Factor Model. |
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Linear Asset Pricing Model Covariance Estimators¶
| Heteroskedasticity robust covariance estimator |
| Heteroskedasticity-autocorrelation (HAC) robust covariance estimator |