Name of Quantlet: AdaptivePenalizedMacroFactor
Published in: 'Unpublished - Theoretical description
of why we are going to use the adaptive methods'
Description: 'Builds a classification model to predict
by combining the shrinking methods with the adaptive methods.
model can automatically detect the homogenous interval
and the active macro-factor set'
Keywords: regression, forcast, simulation, financial, price, likelihood
Author [New]: Xinjue Li
Submitted: Tue, February 2 2016 by Xinjue Li
Example: There are two examples, one is about coefficients varying, the other is forecasting
clc
clear all
data = xlsread('figure.xls','Sheet1','A2:J751');
AE = data(:,1);
OE = data(:,2);
OD = data(:,3);
Time = data(:,4);
plot(Time,AE,'r');
hold on;
plot(Time,OE,'g');
hold on;
plot(Time,OD,'b');
set(gca,'XTickLabel',{'1972','1981','1990','1998','2006','2014','2021'})
automatically created on 2018-10-15