Extract coefficients from a tidyfit.models frame — coef.tidyfit.models • tidyfit

The function extracts and prepares coefficients from all models in a tidyfit.models frame and outputs a tidy frame of estimates.

Usage

# S3 method for tidyfit.models
coef(
  object,
  ...,
  .add_bootstrap_interval = FALSE,
  .bootstrap_alpha = 0.05,
  .keep_grid_id = FALSE
)

Arguments

object: model.frame created using regress, classify or m
...: currently not used
.add_bootstrap_interval: calculate bootstrap intervals for the parameters. See 'Details'.
.bootstrap_alpha: confidence level used for the bootstrap interval. Default is .bootstrap_alpha = 0.05.
.keep_grid_id: boolean. By default the grid ID column is dropped, if there is only one unique setting per model or group. .keep_grid_id = TRUE ensures that the column is never dropped.

Value

A 'tibble'.

Details

The function uses the 'model_object' column in a tidyfit.model frame to return a data frame of estimated coefficients.

Results are 'tidied' using broom::tidy whenever possible.

All coefficients are transformed to ensure statistical comparability. For instance, standardized coefficients are always transformed back to the original data scale, naming conventions are harmonized etc.

Bootstrap intervals

Bootstrap intervals can be calculated using rsample::int_pctl. Only set .add_bootstrap_interval = TRUE if you are using .cv = "bootstraps" in combination with .return_slices = TRUE to generate the model frame.

Author

Johann Pfitzinger

Examples

data <- tidyfit::Factor_Industry_Returns
fit <- regress(data, Return ~ ., m("lm"), .mask = c("Date", "Industry"))
coef(fit)
#> # A tibble: 7 × 4
#> # Groups:   model [1]
#>   model term        estimate model_info      
#>   <chr> <chr>          <dbl> <list>          
#> 1 lm    (Intercept)  -0.0312 <tibble [1 × 3]>
#> 2 lm    Mkt-RF        0.977  <tibble [1 × 3]>
#> 3 lm    SMB           0.0182 <tibble [1 × 3]>
#> 4 lm    HML           0.0605 <tibble [1 × 3]>
#> 5 lm    RMW           0.164  <tibble [1 × 3]>
#> 6 lm    CMA           0.117  <tibble [1 × 3]>
#> 7 lm    RF            1.00   <tibble [1 × 3]>

Extract coefficients from a `tidyfit.models` frame