*R code for GMM estimation and testing of multifactor asset pricing models*
Not sure if it is OK to ask about code here, so pardon me. I do not think it is acceptable on the main site, though, so I will try here instead.
Has anyone seen R code for GMM estimation and testing of asset pricing models such as Fama-French 3-factor or similar? Ideally, I would like to have R codes corresponding to Cochrane "Asset Pricing" (2005) chapter 12 and related chapters.
Now, I have looked around and found some bits for the CAPM (including in the GMM package vignette https://cran.r-project.org/web/packages…
Not sure if it is OK to ask about code here, so pardon me. I do not think it is acceptable on the main site, though, so I will try here instead.
Has anyone seen R code for GMM estimation and testing of asset pricing models such as Fama-French 3-factor or similar? Ideally, I would like to have R codes corresponding to Cochrane "Asset Pricing" (2005) chapter 12 and related chapters.
Now, I have looked around and found some bits for the CAPM (including in the GMM package vignette https://cran.r-project.org/web/packages…
