BFactor_zoo_example {BayesianFactorZoo} | R Documentation |
A simulated dataset used in Figure 1 of Bryzgalova et al. (2023).
data("BFactor_zoo_example")
A list consisting of the following variables:
High-minus-low value factor, from Ken French Website
Hypothetical true risk prices of factors in simulations
Hypothetical true OLS R-squared in simulations
Simulated strong factor
Simulated test asset returns
Simulated weak/unspanned factor
Weighting matrix used in GMM OLS estimations
Section III in Bryzgalova et al. (2023).
Bryzgalova S, Huang J, Julliard C (2023). “Bayesian solutions for the factor zoo: We just ran two quadrillion models <https://doi.org/10.1111/jofi.13197>.” Journal of Finance, 78(1), 487–557.
data(BFactor_zoo_example)
HML <- BFactor_zoo_example$HML
lambda_ols <- BFactor_zoo_example$lambda_ols
R2.ols.true <- BFactor_zoo_example$R2.ols.true
sim_f <- BFactor_zoo_example$sim_f
sim_R <- BFactor_zoo_example$sim_R
uf <- BFactor_zoo_example$uf
W_ols <- BFactor_zoo_example$W_ols
cat("Load the simulated example \n")
cat("Cross-section: Fama-French 25 size and value portfolios \n")
cat("True pricing factor in simulations: HML \n")
cat("Misspecified model with pseudo-true R-squared:", R2.ols.true, "\n")
cat("Pseudo-true (monthly) risk price:", lambda_ols[2], "\n")