Simple Python implementation of the Penalized Fama-MacBeth estimator from S. Bryzgalova 'Spurious Factors in Linear Asset Pricing Models' (2015)
$ pip install git+https://github.com/erikcs/penfmb.git
Apply the estimator to the Carhart 4 factor model (carhart) with the ubiquitous
25 Fama-French portfolios (twentyfive, see the accompanying unit test for details on these two data frames)
>>> from penfmb import PenFMB
>>> est = PenFMB(nboot=1000).fit(twentyfive, carhart)
>>> est.coefs_
coef shrinkage rate
const 1.298400 0.000
Mkt-RF -0.746495 0.000
SMB 0.142363 0.001
HML 0.429167 0.000
Mom 0.000000 0.999