https://github.com/peitalin/hs-alpha-regressions

Fama French 3-factor OLS regressions
https://github.com/peitalin/hs-alpha-regressions

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Fama French 3-factor OLS regressions

• Host: GitHub
• URL: https://github.com/peitalin/hs-alpha-regressions
• Owner: peitalin
• License: gpl-3.0
• Created: 2015-01-22T03:15:04.000Z (almost 10 years ago)
• Default Branch: master
• Last Pushed: 2019-03-20T14:28:35.000Z (almost 6 years ago)
• Last Synced: 2024-10-12T23:20:11.714Z (3 months ago)
• Language: Haskell
• Homepage:
• Size: 35.2 KB
• Stars: 3
• Watchers: 3
• Forks: 1
• Open Issues: 0
• Metadata Files:
  • Readme: README.md
  • License: LICENSE

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### Fama-French 3-factor regressions in Haskell

Run:

```bash

$ cabal install

$ cabal run

$ ghci regression.hs

```

```haskell

ghci> main

```

#### Cabal Dependencies

- hmatrix

- cassava

- statistics

- hscolour

- pretty-show

Example to try in GHCI

```haskell

-- Read in data from ff3.csv

data <- readRawCsv fileP

let y  = getKey data lmvtx

let x1 = getKey data market

let x2 = getKey data smb

let x3 = getKey data hml

let x0 = intercept data

-- Append columns into a matrix with |+| operator

let x = x0 |+| x1 |+| x2 |+| x3

-- Estimate OLS with pseudo inverse

let betas = liftA2 estimateBetas x y

-- Calculate residuals and error corrections

let e = getResiduals <$> y <*> (predictYhat <$> x <*> betas)

let stdErrs      = fmap (asColumn . sqrt . takeDiag) $ liftA2 (varCovMatrix) x e

let stdErrs      = (asColumn . sqrt . takeDiag) <$> (varCovMatrix <$> x <*> e)

let whiteStdErrs = (asColumn . sqrt . takeDiag) <$> (robustVCV <$> x <*> e)

let tstats = liftA2 (/) betas whiteStdErrs

-- Display regression results

let df = regOut <$> betas <*> whiteStdErrs <*> tstats

-- Extract display data out with ! operator

df ! "Alpha"

df ! "HML"

let matrixToList = fmap (ZipList . toList . head . toColumns)

map matrixToList [betas, whiteStdErrs, tstats]

```