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intrinsicFRP
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]
[Scholar Profile | Author Map]
All associated links for this package
First Published: 2023-05-15
Latest Update: 2024-04-15
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. Accessed 23 Jul. 2026.
Previous versions and publish date:
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imports, suggests or enhances
Complete documentation for intrinsicFRP
Functions, R codes and Examples using
the intrinsicFRP R package
Some associated functions: ChenFang2019BetaRankTest . FRP . GKRFactorScreening . HACcovariance . HJMisspecificationDistance . IterativeKleibergenPaap2006BetaRankTest . OracleTFRP . TFRP . factors . returns .
Some associated R codes: RcppExports.R . data.R . frp.R . gkr_factor_screening.R . hac_covariance.R . identification_tests.R . intrinsicFRP-package.R . misspecification_distance.R . oracle_tfrp.R . tfrp.R . utils.R . Full intrinsicFRP package functions and examples
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