{ "_id": "6a12d204acfb0bcc41d22997", "Package": "intrinsicFRP", "Title": "An R Package for Factor Model Asset Pricing", "Version": "2.1.0", "Date": "2024-04-15", "Maintainer": "Alberto Quaini ", "Authors@R": "person(given = \"Alberto\", family = \"Quaini\",\nemail = \"alberto91quaini@gmail.com\",\nrole = c(\"aut\", \"cre\", \"cph\"),\ncomment = c(ORCID = \"0000-0002-1251-0599\"))", "Description": "Functions for evaluating and testing asset pricing models,\nincluding estimation and testing of factor risk premia,\nselection of \"strong\" risk factors (factors having nonzero\npopulation correlation with test asset returns),\nheteroskedasticity and autocorrelation robust covariance matrix\nestimation and testing for model misspecification and\nidentification. The functions for estimating and testing factor\nrisk premia implement the Fama-MachBeth (1973)\n two-pass approach, the\nmisspecification-robust approaches of Kan-Robotti-Shanken\n(2013) , and the approaches based on\ntradable factor risk premia of Quaini-Trojani-Yuan (2023)\n. The functions for selecting the\n\"strong\" risk factors are based on the Oracle estimator of\nQuaini-Trojani-Yuan (2023) and the\nfactor screening procedure of Gospodinov-Kan-Robotti (2014)\n. The functions for evaluating model\nmisspecification implement the HJ model misspecification\ndistance of Kan-Robotti (2008)\n, which is a modification of\nthe prominent Hansen-Jagannathan (1997)\n distance. The\nfunctions for testing model identification specialize the\nKleibergen-Paap (2006) and\nthe Chen-Fang (2019) \nrank test to the regression coefficient matrix of test asset\nreturns on risk factors. Finally, the function for\nheteroskedasticity and autocorrelation robust covariance\nestimation implements the Newey-West (1994)\n covariance estimator.", "License": "GPL (>= 3)", "URL": "https://github.com/a91quaini/intrinsicFRP", "BugReports": "https://github.com/a91quaini/intrinsicFRP/issues", "Encoding": "UTF-8", "RoxygenNote": "7.3.1", "LazyData": "true", "Config/testthat/edition": "3", "NeedsCompilation": "yes", "Packaged": { "Date": "2026-05-24 10:19:10 UTC", "User": "root" }, "Author": "Alberto Quaini [aut, cre, cph]\n()", "Repository": "https://cran.r-universe.dev", "Date/Publication": "2024-04-16 02:33:13 UTC", "RemoteUrl": "https://github.com/cran/intrinsicFRP", "RemoteRef": "HEAD", "RemoteSha": "8ccb85100e9f9073f068221032c2fdc45b2508a6", "MD5sum": "ea486c107e3b1ababdf36ec16002ae28", "_user": "cran", "_type": "src", "_file": "intrinsicFRP_2.1.0.tar.gz", "_fileid": "a6b2b060a8c6649b2da3d77231cebc90d9d9c3d2361add1768604391e93144a8", "_filesize": 878201, "_sha256": "a6b2b060a8c6649b2da3d77231cebc90d9d9c3d2361add1768604391e93144a8", "_created": "2026-05-24T10:19:10.000Z", "_published": "2026-05-24T10:25:08.316Z", "_distro": "noble", "_jobs": [ { "job": 77589929016, "time": 247, "config": "linux-devel-arm64", "r": "4.7.0", "check": "OK", "artifact": "7184358125" }, { "job": 77589929014, "time": 221, "config": "linux-devel-x86_64", "r": "4.7.0", "check": "OK", "artifact": "7184355795" }, { "job": 77589929026, "time": 247, "config": "linux-release-arm64", "r": "4.6.0", "check": "OK", "artifact": "7184358067" }, { "job": 77589929020, "time": 221, "config": "linux-release-x86_64", "r": "4.6.0", "check": "OK", "artifact": "7184355891" }, { "job": 77589675504, "time": 263, "config": "source", "r": "4.6.0", "check": "OK", "artifact": "7184335349" }, { "job": 77589929001, "time": 160, "config": "wasm-release", "r": "4.6.0", "check": "OK", "artifact": "7184350511" } ], "_buildurl": "https://github.com/r-universe/cran/actions/runs/26358533951", "_status": "success", "_host": "GitHub-Actions", "_upstream": "https://github.com/cran/intrinsicFRP", "_commit": { "id": "8ccb85100e9f9073f068221032c2fdc45b2508a6", "author": "Alberto Quaini ", "committer": "cran-robot ", "message": "version 2.1.0\n", "time": 1713234793 }, "_maintainer": { "name": "Alberto Quaini", "email": "alberto91quaini@gmail.com", "login": "a91quaini", "description": "Assistant Professor of Statistics at Erasmus University of Rotterdam", "uuid": 23293655, "orcid": "0000-0002-1251-0599" }, "_registered": true, "_dependencies": [ { "package": "R", "version": ">= 4.3.0", "role": "Depends" }, { "package": "Rcpp", "role": "LinkingTo" }, { "package": "RcppArmadillo", "role": "LinkingTo" }, { "package": "glmnet", "role": "Imports" }, { "package": "graphics", "role": "Imports" }, { "package": "Rcpp", "role": "Imports" }, { "package": "testthat", "version": ">= 3.0.0", "role": "Suggests" } ], "_owner": "cran", "_selfowned": false, "_usedby": 0, "_updates": [], "_tags": [], "_stars": 2, "_contributors": [ { "user": "a91quaini", "count": 5, "uuid": 23293655 } ], "_userbio": { "uuid": 6899542, "type": "organization", "name": "cran", "description": "Unofficial read-only mirror of all CRAN R packages" }, "_downloads": { "count": 211, "source": "https://cranlogs.r-pkg.org/downloads/total/last-month/intrinsicFRP" }, "_devurl": "https://github.com/a91quaini/intrinsicfrp", "_searchresults": 1, "_topics": [ "openblas", "cpp", "openmp" ], "_rbuild": "4.6.0", "_assets": [ "extra/citation.cff", "extra/citation.html", "extra/citation.json", "extra/citation.txt", "extra/contents.json", "extra/intrinsicFRP.html", "extra/NEWS.html", "extra/NEWS.txt", "extra/readme.html", "extra/readme.md", "manual.pdf" ], "_homeurl": "https://github.com/a91quaini/intrinsicfrp", "_realowner": "a91quaini", "_cranurl": false, "_releases": [ { "version": "0.1.0", "date": "2023-05-15" }, { "version": "1.0.0", "date": "2023-09-18" }, { "version": "2.0.0", "date": "2023-11-30" }, { "version": "2.0.1", "date": "2024-01-08" }, { "version": "2.1.0", "date": "2024-04-15" } ], "_exports": [ "ChenFang2019BetaRankTest", "FGXFactorsTest", "FRP", "GKRFactorScreening", "HACcovariance", "HJMisspecificationDistance", "IterativeKleibergenPaap2006BetaRankTest", "OracleTFRP", "SDFCoefficients", "TFRP" ], "_datasets": [ { "name": "factors", "title": "Factors - 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