Macro factor analysis with panel regression
The predictive power of macro factors for asset returns is best estimated across multiple countries. That is because meaning economic trends are limited in time and the experience of diverse countries can go a long way in making up for the relatively short joint history of modern financial markets and recorded macroeconomic developments.?
Cross-country is the domain of panel regression. Macrosynergy has released two Kaggle notebooks, with examples of how to perform such analysis with popular packages in R and Python.
The first notebook uses panel analysis in R, following on from the results discussed in Macrosynergy's research post on general method for testing the significance of macro trading factors of Feb 11th "Testing macro trading factors". The post uses the example J.P. Morgan Macrosynergy Quantamental System (JPMaQS) set of macro factors available on Kaggle.?
The second notebook summarizes essential panel methods in Python using a free JPMaQS quantamental dataset.
Alternative Investments.
2 年Output is so reminiscent of SAS PROC REG ! is it available to all with a simple "pip install" call ?