BayesianFactorZoo
type: Item
instance of: R package
description: Contains the functions to use the econometric methods in the paper Bryzgalova, Huang, and Julliard (2023) <doi:10.1111/jofi.13197>. 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.
last update: 2023-11-14T00:00:00Z
software version identifier: 0.0.0.1
software version identifier: 0.0.0.2
author: Svetlana Bryzgalova
author: Christian Julliard
maintained by: Jiantao Huang
copyright license: GNU General Public License, version 3.0
imports: MCMCpack
imports: reshape2
imports: MASS
imports: timeSeries
imports: coda
imports: mvtnorm
imports: matrixcalc
imports: ggplot2
imports: nse
imports: Rdpack
imports: stats
imports: utils
imports: Matrix
cites work: Bayesian Solutions for the Factor Zoo: We Just Ran Two Quadrillion Models
CRAN project: BayesianFactorZoo
programmed in: R
depends on software: R
MaRDI profile type: Software
description: Bayesian Solutions for the Factor Zoo: We Just Ran Two Quadrillion Models