Name of Quantlet: XFGTVP_BetaChange

Published in: Applied Quantitative Finance (3rd Edition)

Description: Performs quantile LASSO regression in a moving window by using BIC

Keywords: quantile, regression, lasso, L1-norm penalty, lasso shrinkage, L1-constraint,

See also: XFGTVP_LambdaVIX, XFGTVP_LambdaSim, XFGTVP_FRM, XFGTVP_LambdaSysRisk,

Author: Lenka Zboňáková

Submitted: Fri, September 02 2016 by Lenka Zboňáková

Input: 
- n.obs    : Number of observations to simulate
- n.param  : Number of parameters to simulate
- n.sim    : Number of simulations
- w        : Length of moving windows
- seed1    : Seed to simulate design matrix X
- seed2    : Seed to simulate error terms
- tau      : Quantile level

Example: 
- Lambda
- Cardinality of q
- L1-norm of the beta
- L2-norm of the residuals