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
  • run ls command, you should see TreeFactor printed
  • run R CMD INSTALL TreeFactor

How to start using TreeFactor

  • run cd TreeFactor
  • run demo.sh
    • 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.

Reference

GitHub

View Github