Panel Tree Factor Model
This is the public R package for Panel Tree factor model. More details are in the paper.
How to install TreeFactor
- use Mac/Linux command line, go to folder where you store github repos
- git clone this repo to your machine
lscommand, you should see TreeFactor printed
R CMD INSTALL TreeFactor
How to start using TreeFactor
- simulate R data
- run demo1 for basic boosted tree
- run demo2 for market adjusted boosted tree
- run demo3 for time series split.
- you can find the printed output in demo folders.
- You are encouraged to cite our paper for P-Tree factor model.
- Working paper version: Asset Pricing with Panel Trees under Global Split Criteria