Здравствуйте. Я пытаюсь выполнить двухэтапную регрессию fama macbeth с помощью прокрутки. windows.
Мое скользящее окно - 60 месяцев. Средства для регрессии go с 8: 564 (общая сумма зависимых переменных составляет 556 средств) в моем фрейме данных, независимые переменные находятся между 2: 7. Всего месяцев 115, таким образом, мы можем иметь коэффициенты для 115-60 = 55 месяцев.
Я вдохновил себя из другого поста и получил следующий код, который работает для получения коэффициентов для каждого периода времени, каждого фонда и каждый фактор:
library(tidyverse)
mydata = read.csv("test.csv")
y <- map(8:564,
function(i) {
map(1:55,
function(j, i) {
lm(mydata[j:(60+j), i] ~ ., data =mydata[j:(60+j), 2:7])[[1]][2:7]
}, i = i)
})
Однако теперь моя проблема заключается в том, что у меня есть вложенный список Y, где каждый y [i] (i = каждый фонд) представляет собой список из 55 векторов, связывающих коэффициенты факторов для каждый месяц.
Мне нужно иметь возможность усреднять каждый фактор по фондам, например, по фактору "SMB", усреднять коэффициенты SMB за 55 периодов, чтобы получить только один коэффициент для этого фонда для SMB фактор.
Я рассчитываю получить в среднем шесть факторов по фондам за период 55 месяцев. Имея фрейм данных с 6 различными факторами в виде строк и 556 столбцов (разные фонды), где в строках будет содержаться средний коэффициент для этого фонда.
Вот производительность моего исходного фрейма данных, я уменьшил Количество средств до 4, чтобы иметь пригодный для использования фрейм данных. Приведенный выше код просто должен изменить «8: 564» на «8:12»
dput(testdataframe)
structure(list(Date = structure(1:115, .Label = c("2010-05-31",
"2010-06-30", "2010-07-30", "2010-08-31", "2010-09-30", "2010-10-29",
"2010-11-30", "2010-12-31", "2011-01-31", "2011-02-28", "2011-03-31",
"2011-04-29", "2011-05-31", "2011-06-30", "2011-07-29", "2011-08-31",
"2011-09-30", "2011-10-31", "2011-11-30", "2011-12-30", "2012-01-31",
"2012-02-29", "2012-03-30", "2012-04-30", "2012-05-31", "2012-06-29",
"2012-07-31", "2012-08-31", "2012-09-28", "2012-10-31", "2012-11-30",
"2012-12-31", "2013-01-31", "2013-02-28", "2013-03-28", "2013-04-30",
"2013-05-31", "2013-06-28", "2013-07-31", "2013-08-30", "2013-09-30",
"2013-10-31", "2013-11-29", "2013-12-31", "2014-01-31", "2014-02-28",
"2014-03-31", "2014-04-30", "2014-05-30", "2014-06-30", "2014-07-31",
"2014-08-29", "2014-09-30", "2014-10-31", "2014-11-28", "2014-12-31",
"2015-01-30", "2015-02-27", "2015-03-31", "2015-04-30", "2015-05-29",
"2015-06-30", "2015-07-31", "2015-08-31", "2015-09-30", "2015-10-30",
"2015-11-30", "2015-12-31", "2016-01-29", "2016-02-29", "2016-03-31",
"2016-04-29", "2016-05-31", "2016-06-30", "2016-07-29", "2016-08-31",
"2016-09-30", "2016-10-31", "2016-11-30", "2016-12-30", "2017-01-31",
"2017-02-28", "2017-03-31", "2017-04-28", "2017-05-31", "2017-06-30",
"2017-07-31", "2017-08-31", "2017-09-29", "2017-10-31", "2017-11-30",
"2017-12-29", "2018-01-31", "2018-02-28", "2018-03-29", "2018-04-30",
"2018-05-31", "2018-06-29", "2018-07-31", "2018-08-31", "2018-09-28",
"2018-10-31", "2018-11-30", "2018-12-31", "2019-01-31", "2019-02-28",
"2019-03-29", "2019-04-30", "2019-05-31", "2019-06-28", "2019-07-31",
"2019-08-30", "2019-09-30", "2019-10-31", "2019-11-29"), class = "factor"),
UME.PROXY = c(-0.000724658, -0.005744157, -0.004059006, 0.000730039,
-0.003856785, -0.000343876, -0.003475997, -0.0081364, 0.001128034,
-0.002585321, -0.003010976, 0.003096291, -0.006233193, 0.007021689,
0.000733877, -0.013827583, 0.001796754, 0.000339051, 0.005640408,
0.004518049, -0.008113983, -0.002934056, -0.009942401, 0.002855035,
0.004158718, -0.00033229, -0.000882825, -0.004520612, -0.006555119,
0.003286183, 0.000956616, -0.002131598, -0.000638275, -0.006032098,
0.002373039, -0.003312455, -0.00870683, 0.001287356, -0.016242079,
-0.007838342, -0.001569358, -0.009695109, -0.000104717, 0.001128842,
-0.008548112, -0.003422785, -0.003710039, -0.003577239, 0.00190479,
0.004088383, 0.004170113, 0.006987248, 0.006132453, 0.00118992,
-0.001271605, -0.001910165, -0.011094524, -0.005393945, -0.005682147,
-0.004076733, -0.001770596, -0.004180218, 0.00731324, -0.014107303,
-0.002927917, -0.005206962, -0.003447737, -0.003746203, 0.000128482,
0.00332775, -0.006817127, -0.003734958, 0.002575807, 0.009394906,
-0.006580909, -0.001998549, 0.003051689, -0.000272597, -0.000130306,
-0.006592017, -0.005033978, -0.000904058, -0.002871654, -0.006998141,
0.005530449, 0.000458694, -0.006868596, 0.001207348, 0.001653872,
0.000547852, 0.000792877, -0.003906205, -0.001693455, -0.010203385,
-0.001409528, 0.000815144, -0.00215596, 0.000759584, -0.000333102,
-0.009461779, 0.004980961, 0.000438439, 0.000669097, -0.00205561,
-0.004706244, -0.002016315, 0.007150693, 0.005616387, 0.004701252,
0.003749277, -0.000615109, -0.00252158, -0.003883389, -0.003880969,
-0.003469177), SMB = c(-7e-04, -0.0172, -6e-04, 0.0093, 0.0062,
0.0107, 0.0218, -0.0022, -0.0109, 0.0208, -0.0117, 0.0023,
-0.0124, 0.002, 0.0085, -0.0113, -0.0338, -0.0254, -0.0099,
0.0267, 0.0138, 0.0077, 0.0124, 0.0029, -0.0432, -0.0133,
5e-04, 0.0167, -0.0058, -0.0244, 0.0249, 0.0065, 0.02, -0.0081,
-0.0138, 0.0121, 0.0214, -0.0145, 0.0264, 0.0017, 3e-04,
0.0081, 0.0055, 0.0363, 0.0053, 0.0062, -0.0206, -0.006,
0.0019, -0.006, -0.0093, -0.0218, -0.0115, -0.0136, 0.023,
-0.0155, 0.0087, -0.0032, 0.0207, 0.015, 0.0194, -0.0093,
0.0364, 0.0117, -0.0294, 0.0031, 0.0374, -0.0062, 0.0148,
0.0179, -0.0056, 0.0141, -0.0224, 0.0151, 0.017, 0.0097,
-0.005, 0.01, -0.0082, 0.0212, 2e-04, -0.0128, 0.0194, 3e-04,
0.0161, 0.0068, 3e-04, -0.0016, -0.0099, -0.0029, 0.0154,
0.0064, 0.011, -0.0056, -0.0071, 0.0108, -0.009, -0.0206,
0.0085, -0.0134, -0.0151, -0.0111, -0.0051, 0.0056, -0.0147,
-0.018, 0.0014, 0.012, -0.0255, -0.0132, -0.0068, -0.0067,
0.0083, 0.0188, 0.027), HML = c(-0.0222, 0.0462, -0.027,
-0.0028, 8e-04, -0.0346, 0.0111, 0.0552, 0.007, -0.0183,
-0.0068, -0.0228, 0.0011, -0.0405, -0.0374, -0.0179, -0.0109,
-0.0326, -0.0098, 0.0094, -0.0037, -0.0156, -0.0418, -0.0248,
0.0301, -0.0257, 0.0337, 0.0214, 0.0204, -0.0049, 0.0308,
0.0424, -0.0344, -0.0436, 0.0355, 0.0288, -0.0245, 0.0277,
0.0057, 0.0131, 0.0439, -0.0055, -0.0022, 0.0248, 0.0064,
0.0178, 0.0046, -0.0042, -0.0162, 0.0026, -0.0099, -0.0035,
-0.0319, -0.0193, -0.024, -0.0348, 0.0191, -0.0042, 0.0039,
-0.0259, 0.0013, -0.0266, -0.0099, -0.0363, -0.0077, -0.028,
-0.0125, -0.0149, 0.0038, 0.0118, 0.0335, -0.0287, -0.0164,
0.0021, 0.0192, -0.0014, 0.0636, 0.0192, 0.0199, 0.0047,
-0.026, 0.005, -0.013, -0.0079, 0.0204, 0.026, -0.007, 0.0047,
-0.0012, 0.0128, 0.005, 0.011, -0.0075, -0.0094, 0.015, -0.0498,
-0.0156, 0.0041, -0.0264, 0.0233, 0.0148, -0.0057, 0.0095,
-0.0096, -0.0122, -0.0232, -0.0105, -0.0154, -0.0132, 4e-04,
-0.0191, 0.0308, -0.0051, -0.0229, 0.004), RMW = c(-0.0107,
-0.0283, 0.0264, -0.0043, 0.0138, 0.0177, -0.016, -0.0302,
0.0046, 0.02, 0.0102, 0.0193, 0.0099, 0.0226, 0.0348, 0.0229,
0.0121, 0.0269, 0.0036, -0.0207, -0.008, 0.0096, 0.03, 0.0259,
-0.0047, 0.0246, -0.0194, -0.0152, -0.0112, 0.0056, -0.0073,
-0.0333, 0.0207, 0.0221, -0.0108, -0.0107, 0.0227, -0.006,
2e-04, -0.0094, -0.0176, 0.0067, 0.004, -0.0119, 0.007, 0.011,
0.0044, 0.0069, 0.0207, -0.0163, 0.0023, -0.0044, 0.0233,
0.0067, 0.0157, 0.0284, -0.0197, 0, 3e-04, 5e-04, -0.0014,
0.0093, 0.0079, 0.027, 0.0198, 0.0303, 0.0067, 0.0247, 0.0064,
0.0074, -0.0188, 0.0176, 0.0325, 7e-04, -0.0192, 0.0032,
-0.0385, -0.0153, -0.0091, -0.0024, 0.0273, 0.0012, 0.016,
0.0122, -0.0201, -0.0224, 0.0145, 0.0033, 0.001, -0.0037,
-0.0075, -0.0213, 0.0019, 0.0145, -0.0052, 0.0238, -0.0016,
-0.0053, 0.0087, -0.0053, -0.0037, 0.0078, 0.007, 0.0166,
-2e-04, 0.0123, 0.0034, -0.0059, 0.0149, -0.0117, 0.0088,
-0.0047, 0.0127, 0.0132, -0.0039), CMA = c(-0.0111, 0.0097,
-0.0214, 0.0155, -0.0033, 0.0011, 0.0112, 0.0137, 4e-04,
-0.0037, 0.0074, -0.0067, -0.0064, -0.0048, -0.0112, 0.0144,
-0.03, -0.0042, 0.0025, -0.0209, -0.0077, 0.0164, -0.0067,
0.0141, 0.0202, -0.022, 0.0154, 0.0082, -0.003, -0.0087,
0.009, 0.0181, -0.0136, -0.0033, 0.0128, -0.0016, 0.0039,
0.003, 0.0093, 0.0153, 0.0175, 0.0063, 0.0029, 0.0206, 0.0095,
0.0016, -0.0112, -0.0039, -0.0096, 0.004, -0.0077, 0.0039,
-0.0053, 0.0024, -0.0194, -0.0106, -0.0013, 0.0079, -0.0041,
-0.0066, -0.0022, -0.0076, -0.009, -0.0098, -6e-04, -0.0212,
-0.0165, 0.0228, 0.0088, -0.0113, 0.009, -0.0048, 0.0282,
-0.0086, -2e-04, 3e-04, 0.0295, 0.0187, 0.0104, 0.0018, -0.0132,
-0.0028, -0.0132, -0.0069, 0.0079, 0.0034, -4e-04, -0.005,
-0.0032, 0.0089, 0.0034, 0.0091, -0.0025, -0.0137, 0.0043,
-0.0242, -0.0057, -0.0086, -0.0174, 0.0064, 0.0115, 0.0046,
0, -0.0128, -0.0016, -0.0087, -0.0029, 1e-04, 0.001, 5e-04,
-2e-04, 0.0125, -0.0159, -0.0165, 0.0014), MKT.New = c(-0.048312632,
-0.005699491, 0.049696506, -0.012657156, 0.033270451, 0.024780083,
-0.013329446, 0.051789232, 0.017089348, 0.025164953, -0.03480018,
0.033030937, -0.002026571, -0.027451865, -0.025288067, -0.101951761,
-0.044615249, 0.078324394, -0.010633736, 0.02097599, 0.038118686,
0.040562643, -0.001414649, -0.016842437, -0.060758886, 0.051563965,
0.042065165, 0.020144668, 0.008691674, 0.007331822, 0.021910407,
0.014465086, 0.028011002, 0.009293811, 0.016253924, 0.016268534,
0.019182709, -0.051096826, 0.050984774, -0.005847953, 0.044184492,
0.038345817, 0.010295931, 0.010191005, -0.01769965, 0.047721542,
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0.072317087, 0.069232797, 0.016618996, 4.85e-05, 0.014212262,
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0.001061424, -0.006914992, 0.031055612, -0.022421323, 0.005250311,
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0.020271848, 0.037769537, -0.049408858, 0.04427325, 0.002977513,
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-0.003267045, 0.024084367, -0.023517952, 0.063844948, 0.047019424,
0.006141249, 0.107070193, -0.022053756, -0.012567536, 0.065897466,
0.040062493, -0.006759657, -0.0676245, -0.058510022, -0.144597588,
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0.070905698, 0.05548854, -0.037587302, -0.115978361, 0.016865672,
-0.025392632, 0.00873494, 0.018214392, 0.017155425, -0.003892172,
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0.007638397, -0.036730228, 0.083887717, 0.042814371, 0.024332472,
0.004484619, 0.02183467, 0.056116876, 0.022301228, 0.035156497,
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0.014961323, -0.03030303, 0.001270708, -0.011750881, -0.005897741,
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0.068211347, -0.089397932, 0.025434105, -0.023175034, -0.024780531,
0.02797402, 0.045557834, 0.070341903), IFOAKTR.LE.Equity = c(-0.109202454,
0.077053962, -0.003761378, 0.03465982, 0.065027003, 0.007400809,
0.027004966, 0.079149556, -0.012397962, 0.02479647, -0.01164342,
0.005031292, 0.008974359, -0.094451504, 0.05940131, -0.12526017,
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```
Thank you in advance for you help.