# Demo entry 6344551

termpaper

Submitted by anonymous on Jan 15, 2017 at 16:56
Language: Matlab. Code size: 1.2 kB.

```%% Exercise 1 %%
X = data(:,1);
Y = data(:,2:end);
T = length(X);
K = 100;

beta_exercise_1 = zeros(K,1);
for i = 1:K;
beta_exercise_1(i) = (X'*X)^-1 * X' * Y(:,i);
end;

plot(beta_exercise_1)

beta_sorted=sort(beta_exercise_1);

%% Exercise 2 %%
constant = ones(T,1);
beta_exercise_2 = zeros(K,2);
for i = 1:K;
beta = ([constant X]' * [constant X])^-1 * [constant X]' * Y(:,i);
beta_exercise_2(i,:) = beta';
end;

t_statistics_beta=zeros(K,2);
for j = 1:2;
for i = 1:K;
beta = ([constant X]' * [constant X])^-1 * [constant X]' * Y(:,i);
u = Y(:,i) - [constant X] * beta;
variance = 1/T * u' * u;
beta_variance = variance * ([constant X]' * [constant X])^-1;
t_statistics_beta(i,j) = beta_exercise_2(i,j) / sqrt(beta_variance(j,j));
end;
end;

significant_alpha = t_statistics_beta(:,1);
for i=1:K;
if significant_alpha(i) < 1.96 & significant_alpha(i) > -1.96;
significant_alpha(i) = 0;
end;
end;

percentage_significant = sum(significant_alpha > 0) / K * 100

bar(t_statistics_beta(:,1));
xlim([0 100])
line(xlim,[1.96 1.96 ], 'Color', 'b')
```

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