Bayesian Solutions for the Factor Zoo: We Just Ran Two Quadrillion Models
Bayesian Fama-MacBeth
Bayesian estimation of Linear SDF (B-SDF)
SDF model selection with continuous spike-and-slab prior (tradable fac...
SDF model selection with continuous spike-and-slab prior
Hypothesis testing for risk prices (Bayesian p-values) with Dirac spik...
Mapping (psi0) to the prior Sharpe ratio of factors (`priorSR...
GMM Estimates of Factors' Risk Prices under the Linear SDF Framework
Fama MacBeth Two-Pass Regression
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.