Name of Quantlet: XFGTVP_FRM

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_BetaChange, XFGTVP_LambdaSysRisk,

quantilelasso, FRM_download_data, FRM_lambda_series, http: //frm.wiwi.hu-berlin.de,

Author: Lenka Zboňáková

Submitted: Wed, September 07 2016 by Lenka Zboňáková

Datafile: 200_firms_returns_and_scaled_macro_2016-08-18.csv

Input: 
- n.firm   : Number of companies (maximum is 200)
- w        : Length of moving windows
- tau      : Quantile level

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