时间序列回归：EAP.time_series_regress

实证资产定价中的时间序列回归多用于估计资产的因子暴露（beta值）。此外，时间序列分析可以通过GRS检验来考察资产收益率是否存在未被风险因子（risk factor）解释的异象（anomaly）。

本文根据Bail et al.的著作Empirical Asset Pricing编写相关程序，时间序列回归的模块是EAP.time_series_regress，下面将对该模块进行详细介绍。本文的Package已发布于Github:

Github: GitHub - whyecofiliter/EAP: empirical asset pricing
 

time_series_regress

class TS_regress()

This class is designed for time series regression,

$$
r_{i,t} = \beta_if_t + \epsilon_{i,t}
$$

to obtain the beta for each asset.

def __init__(self, list_y, factor):

This function initializes the object.

input :

list_y : The return matrix with i rows and t columns.

factor : The factor risk premium return series.

def ts_regress(self, newey_west=True):

This function is for conducting the time series regressio