loop for OLS using fitlm
2 Ansichten (letzte 30 Tage)
Ältere Kommentare anzeigen
I am trying to estimate standar errors of my betas using bootstraping. I am using fitlm.
My Y and x are two vectors of dimensions 202x1. How can I program the loop to save the betas in a matrix? I should have 2 betas for each of the 1000 models.
My code is as follows:
%Get Initial values
OLS=fitlm(x,Y)
%save residuals
res=OLS.Residuals.Raw;
%generate y hat
ypred=predict(OLS1,x)
%bootstrap 1000 draws of the residuals with replacement
resboot=res(randi(202,202,1000))
%generate 1000 new draws of Y
yboot=ypred+resboot
% Do the fits
for i = 1:1000
mdl= fitlm(x,yboot(:,i));
end
0 Kommentare
Antworten (1)
Felipe Valenzuela Soto
am 11 Apr. 2019
Hi Alexis,
Maybe you already solve it, but i think you should first create two zeros vector of 202x1 to asign the estimated betas and residuals from the loop using the fitlm function. I have used this method in my codes for yield curve term structure estimation, more related to financial application. I hope it works for you.
beta = zeros(size(X,1),1);
residuals = zeros(size(X,1),numel(X));
%loop
for i = 1:size(X,1)
EstOLS = fitlm(X, Y','Intercept", false); %Or true in you want
beta (i ; :) = EstOLS.Coefficients.Estimate';
residuals(i ; :) = EstOLS.Residuals.Raw';
end
Good luck!
Felipe Valenzuela.
0 Kommentare
Siehe auch
Kategorien
Mehr zu Logical finden Sie in Help Center und File Exchange
Community Treasure Hunt
Find the treasures in MATLAB Central and discover how the community can help you!
Start Hunting!