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BayesianFactorZoo
View on CRAN: Click
here
Download and install BayesianFactorZoo package within the R console
Install from CRAN:
install.packages("BayesianFactorZoo")
Install from Github:
library("remotes")
install_github("cran/BayesianFactorZoo")
Install by package version:
library("remotes")
install_version("BayesianFactorZoo", "0.0.0.2")
Attach the package and use:
library("BayesianFactorZoo")
Maintained by
Jiantao Huang
[Scholar Profile | Author Map]
[Scholar Profile | Author Map]
All associated links for this package
First Published: 2023-11-02
Latest Update: 2023-11-14
Description:
Contains the functions to use the econometric methods in the paper Bryzgalova, Huang, and Julliard (2023) . In this package, we provide a novel Bayesian framework for analyzing linear asset pricing models: simple, robust, and applicable to high-dimensional problems. For a stand-alone model, we provide functions including BayesianFM() and BayesianSDF() to deliver reliable price of risk estimates for both tradable and nontradable factors. For competing factors and possibly nonnested models, we provide functions including continuous_ss_sdf(), continuous_ss_sdf_v2(), and dirac_ss_sdf_pvalue() to analyze high-dimensional models. If you use this package, please cite the paper. We are thankful to Yunan Ding and Jingtong Zhang for their research assistance. Any errors or omissions are the responsibility of the authors.
How to cite:
Jiantao Huang (2023). BayesianFactorZoo: Bayesian Solutions for the Factor Zoo: We Just Ran Two Quadrillion Models. R package version 0.0.0.2, https://cran.r-project.org/web/packages/BayesianFactorZoo
Previous versions and publish date:
0.0.0.1 (2023-11-02 08:40)
Other packages that cited BayesianFactorZoo R package
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Other R packages that BayesianFactorZoo depends,
imports, suggests or enhances
Functions, R codes and Examples using
the BayesianFactorZoo R package
Some associated functions: BFactor_zoo_example . BayesianFM . BayesianSDF . SDF_gmm . Two_Pass_Regression . continuous_ss_sdf . continuous_ss_sdf_v2 . dirac_ss_sdf_pvalue . psi_to_priorSR .
Some associated R codes: BayesianFamaMacBeth.R . BayesianSDF.R . FamaMacBeth.R . SDF_GMM.R . check_input.R . continuous_ss_sdf.R . continuous_ss_sdf_v2.R . dirac_ss_sdf_pval.R . import-packages.R . psi_to_priorSR.R . Full BayesianFactorZoo package functions and examples
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