linearmodels.asset_pricing.model.TradedFactorModel.fit

TradedFactorModel.fit(cov_type='robust', debiased=True, **cov_config)[source]

Estimate model parameters

Parameters:
cov_typestr

Name of covariance estimator

debiasedbool

Flag indicating whether to debias the covariance estimator using a degree of freedom adjustment

**cov_configdict

Additional covariance-specific options. See Notes.

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) and bandwidth (a positive integer).

Return type:

LinearFactorModelResults