Chib and Zeng (2020) plus Chib, Zeng and Zhao (2020) factor models

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Documentation for package ‘czfactor’ version 1.0

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czfactor-package Chib and Zeng (2020) plus Chib, Zeng and Zhao (2020) factor models
BpLS BpLS calculates the LS estimate of Y = X * Bp + E model
CZchangefactor CZchangefactor does marginal likelihood calculation of the gaussian factor model of Chib and Zeng (2020) where the training sample is given
CZchangefactort CZchangefactort does Bayes estimation of the student-t factor model of Chib and Zeng (2020) where the training sample is given
CZchangescan CZchangescan does Bayes change-point marg likelihood model scan by the Chib and Zeng (2020) method using student-t errors
czfactor Chib and Zeng (2020) plus Chib, Zeng and Zhao (2020) factor models
CZfactorg CZfactorg does Bayes estimation of the Gaussian factor model of CZ (2020)
CZfactort CZfactort does Bayes estimation of the student-t factor model of Chib and Zeng (2020)
CZfactortmle CZfactormle_ calculates the mle estimate of CZ student factor model Monte Carlo EM algorithm is used
czmargg czmargg does marginal likelihood calculation of Gaussian factor model of Chib and Zeng (2020)
CZscang CZscang does Bayes marg likelihood model scan by the Chib and Zeng (2020) method
CZscant CZscant does Bayes marg likelihood model scan of the student-t factor model by the Chib and Zeng (2020) method
CZsummaryb CZsummaryb produces posterior summary of b = Omegaxinv*lam in the factor model of Chib and Zeng (2020)
CZsummaryBlam CZsummaryBlam produces posterior summary of B*lambda in the factor model of Chib and Zeng (2020)
CZsummaryg CZsummaryg produces summary given draws from the Gaussian factor model of Chib and Zeng (2020)
CZsummaryt CZsummaryt produces summary of posterior draws from the Student-t factor model of Chib and Zeng (2020)
CZtchangenuscan CZtchangenuscan does Bayes change-point marg likelihood model scan by the Chib and Zeng (2020) method using student-t errors
CZtnuscan CZtnuscan does Bayes marg likelihood model scan by the Chib and Zeng (2020) method using student-t errors
diwish diwish calculates the log density of the inverse Wishart
dmvn0 dmvn0 is the log density of the multivariate normal with mean 0
dmvn1 dmvn1 is the log density of the multivariate normal
makedffrommnuscan makedffrommnuscan makes a data.frame object of scan results
makedffrommscan makedffrommscan makes a matrix object of scan results
makelamprior makelamprior makes the lambda prior
makesubsets 'makesubsets' makes all subsets of names in a data-frame
plotlambda plotlambda produces summary given draws from czfactor package
plotsdf plotsdf produces summary of SDF theta draws from the factor model of Chib and Zeng (2020)
plotxts plotxts plots xts time series
plotxtsls plotxtsls plots xts time series in a list where each is produced by plotxts
portgseq portgseq calculates factor portfolios and realized returns out of sample for Gaussian Chib, Zeng, Zhao (2020) model
predictfacret predictfacret predicts using factors and characteristics
pricing pricing does Bayes test of pricing using risk-factors
pricingls pricingls does Bayes test of pricing where asset data is in a list and risk factor data is in an xts
riwish riwish generates an inverse wishart draw
rmvn0 rmnv0 simulates from the MVN distribution
sampleprior sampleprior samples the prior and then risk-factors in CZ factor model
sdfgen sdfgen produces summary of SDF given draws from the factor model of Chib and Zeng (2020)
sharperatio sharperatio calculates the sharp ratio given theta draws from the factor model of Chib and Zeng (2020)
SigmainvLS SigmainvLS calculates the LS estimate of the inverse covariance in the Y = X * Bp + E model
simdataczfacmod simdataczfacmod does simulation from Chib and Zeng (2020) factor model
sqrtmat sqrtmat get the square root of a symmetric pd matrix
summaryb summaryb produces posterior summary of b = Omegaxinv*lam in the macro factor model
vech_ vech does row-wise unique elements vectorization of a symmetric matrix
xpnd xpnd creates a symmetric matrix; inverse of vech