The following package and source code is based on Time-Varying Sparsity in Dynamic Regression Models.
The source code and files included in this project are listed in the project files section, please make sure whether the listed source code meet your needs there.
Project Files:
| File Name | Size | Date |
|---|---|---|
| equity_premium_data.mat | 61795 | December 25 2013 16:41:19 |
| equity_premium_target.mat | 6251 | December 25 2013 16:41:19 |
| GDP_data.mat | 35105 | December 25 2013 16:41:19 |
| GDP_target.mat | 1596 | December 25 2013 16:41:19 |
| kf_NGAR.m | 1070 | December 25 2013 16:41:19 |
| NGAR.m | 30052 | December 25 2013 16:41:19 |
| PCE_data.mat | 35113 | December 25 2013 16:41:19 |
| PCE_target.mat | 1602 | December 25 2013 16:41:19 |
| readme.pdf | 97308 | December 25 2013 16:41:19 |
| run_equitypremium.m | 325 | December 25 2013 16:41:19 |
| run_GDP.m | 290 | December 25 2013 16:41:19 |
| run_PCE.m | 290 | December 25 2013 16:41:19 |
