reg.R

source('R/penfmbr.R')
library(stargazer)

factors = read.csv('data/factors.csv')[, -1]
returns = read.csv('data/returns.csv')[, -1]

# Models
fmb_mkt = fmb(factors[, 1, drop = FALSE], returns)
fmb_ff = fmb(factors[, c(1, 2, 3)], returns)
fmb_ch = fmb(factors, returns)
penfmb_mkt = penfmb(factors[, 1, drop = FALSE], returns)
penfmb_ff = penfmb(factors[, c(1, 2, 3)], returns)
penfmb_ch = penfmb(factors, returns)

models = list(fmb_mkt, fmb_ff, fmb_ch,
              penfmb_mkt, penfmb_ff, penfmb_ch)

stargazer(models,
          se = lapply(models, function(x) sqrt(diag(vcov(x)))),
          keep.stat = 'adj.rsq',
          type = 'text',
          dep.var.caption = '',
          dep.var.labels = '',
          star.cutoffs = NA,
          column.labels = c('FamaMacBeth', 'Penalized FamaMacBeth'),
          column.separate = c(3, 3),
          notes = c('FamaMacBeth and Penalized FamaMacBeth regressions for the 25 B/M sorted portfolios.',
                    'Shanken standard errors in parenthesis. For PenFMB bootstrapped shrinkage rate',
                    'in parenthesis, based on the stationary bootstrap.'),
          notes.append = FALSE,
          notes.align = 'l')

>

====================================================================================================

                            FamaMacBeth                             Penalized FamaMacBeth
                 (1)            (2)            (3)            (4)            (5)            (6)
----------------------------------------------------------------------------------------------------
Mkt             -0.697         -0.795         0.025          -0.697         -0.795        -0.753
               (0.483)        (0.355)        (0.437)        (0.000)        (0.000)        (0.000)

SMB                            0.141          0.152                         0.141          0.140
                              (0.143)        (0.144)                       (0.000)        (0.030)

HML                            0.426          0.447                         0.426          0.422
                              (0.135)        (0.137)                       (0.000)        (0.010)

Mom                                           2.308                                        0.000
                                             (0.792)                                      (0.990)

Constant        1.474          1.350          0.574          1.474          1.350          1.309
               (0.442)        (0.290)        (0.376)        (0.000)        (0.000)        (0.000)

----------------------------------------------------------------------------------------------------
Adjusted R2     0.165          0.674          0.723          0.165          0.674          0.650
====================================================================================================
Note:       FamaMacBeth and Penalized FamaMacBeth regressions for the 25 B/M sorted portfolios.
            Shanken standard errors in parenthesis. For PenFMB bootstrapped shrinkage rate
            in parenthesis, based on the stationary bootstrap.