linearmodels.asset_pricing.results.GMMFactorModelResults¶

class linearmodels.asset_pricing.results.GMMFactorModelResults(results: AttrDict)[source]¶

Methods

Properties

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