linearmodels.asset_pricing.model.TradedFactorModel.fit¶
-
TradedFactorModel.fit(cov_type: str =
'robust'
, debiased: bool =True
, **cov_config: str | float) LinearFactorModelResults [source]¶ Estimate model parameters
- Parameters:¶
- Returns:¶
Results class with parameter estimates, covariance and test statistics
- Return type:¶
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).