linearmodels.asset_pricing.results.GMMFactorModelResults¶
- class GMMFactorModelResults(results)[source]¶
- 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
iterations
Number of steps in GMM estimation
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
Mispricing estimates
Estimated factor loadings
Estimated covariance of parameters
Type of covariance estimator used to compute covariance
Complete summary including factor loadings and mispricing measures
Number of steps in GMM estimation
Model J statistic
Model type
Number of observations
Estimated parameters
Parameter p-vals.
Residual sum of squares
Estimated factor risk premia (lambda)
Estimated factor risk premia standard errors
Risk premia t-statistics
Coefficient of determination (R**2)
Estimated parameter standard errors
Model estimation summary.
Total sum of squares
Parameter t-statistics