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intrinsicFRP  

An R Package for Factor Model Asset Pricing
View on CRAN: Click here


Download and install intrinsicFRP package within the R console
Install from CRAN:
install.packages("intrinsicFRP")

Install from Github:
library("remotes")
install_github("cran/intrinsicFRP")

Install by package version:
library("remotes")
install_version("intrinsicFRP", "2.1.0")



Attach the package and use:
library("intrinsicFRP")
Maintained by
Alberto Quaini
[Scholar Profile | Author Map]
All associated links for this package
First Published: 2023-05-15
Latest Update: 2024-01-08
Description:
Functions for evaluating and testing asset pricing models, including estimation and testing of factor risk premia, selection of "strong" risk factors (factors having nonzero population correlation with test asset returns), heteroskedasticity and autocorrelation robust covariance matrix estimation and testing for model misspecification and identification. The functions for estimating and testing factor risk premia implement the Fama-MachBeth (1973) two-pass approach, the misspecification-robust approaches of Kan-Robotti-Shanken (2013) , and the approaches based on tradable factor risk premia of Quaini-Trojani-Yuan (2023) . The functions for selecting the "strong" risk factors are based on the Oracle estimator of Quaini-Trojani-Yuan (2023) and the factor screening procedure of Gospodinov-Kan-Robotti (2014) . The functions for evaluating model misspecification implement the HJ model misspecification distance of Kan-Robotti (2008) , which is a modification of the prominent Hansen-Jagannathan (1997) distance. The functions for testing model identification specialize the Kleibergen-Paap (2006) and the Chen-Fang (2019) rank test to the regression coefficient matrix of test asset returns on risk factors. Finally, the function for heteroskedasticity and autocorrelation robust covariance estimation implements the Newey-West (1994) covariance estimator.
How to cite:
Alberto Quaini (2023). intrinsicFRP: An R Package for Factor Model Asset Pricing. R package version 2.1.0, https://cran.r-project.org/web/packages/intrinsicFRP
Previous versions and publish date:
0.1.0 (2023-05-15 10:20), 1.0.0 (2023-09-18 14:40), 2.0.0 (2023-11-30 10:40), 2.0.1 (2024-01-08 12:20)
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