linearmodels.asset_pricing.model.LinearFactorModelGMM¶
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class linearmodels.asset_pricing.model.LinearFactorModelGMM(portfolios: IVData | ndarray | DataArray | DataFrame | Series, factors: IVData | ndarray | DataArray | DataFrame | Series, *, risk_free: bool =
False)[source]¶ GMM estimator of Linear factor models
- Parameters:¶
- portfolios: IVData | ndarray | DataArray | DataFrame | Series¶
Test portfolio returns (nobs by nportfolio)
- factors: IVData | ndarray | DataArray | DataFrame | Series¶
Priced factors values (nobs by nfactor)
- 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.
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(*[, center, use_cue, steps, disp, ...])Estimate model parameters
from_formula(formula, data, *[, portfolios, ...])Properties