Dynamic Regression Models Matlab Code

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 NameSizeDate
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