Simple Python implementation of the Penalized Fama-MacBeth estimator from S. Bryzgalova 'Spurious Factors in Linear Asset Pricing Models' (2015)

Installation

$ pip install git+https://github.com/erikcs/penfmb.git

Example

Apply the estimator to the Carhart 4 factor model (carhart) with the ubiquitous 25 Fama-French portfolios (twentyfive, see the accompanying unit test for details on these two data frames)

>>> from penfmb import PenFMB
>>> est = PenFMB(nboot=1000).fit(twentyfive, carhart)
>>> est.coefs_
            coef  shrinkage rate
const   1.298400           0.000
Mkt-RF -0.746495           0.000
SMB     0.142363           0.001
HML     0.429167           0.000
Mom     0.000000           0.999