变系数模型的变量选择及在股票数据中的应用

本文研究纵向数据分析中变系数模型的变量选择及效应估计问题。模型允许变量的效应随时间改变。本文方法在进行变量选择的同时，也估计变系数函数，避免了传统的变量选择方法极其复杂的计算。将本文方法用于股票价格分析，能够快速地在众多公司财务变量中挑选出对股票收益率有显著影响的变量，并估计了这些变量的时变效应，很好的解释了股票收益率的变化。

Variable Selection of Varying-Coefficient Models and

This paper discusses the variable selection and estimation based on varying-coefficient models for longitudinal data. The model allows the effect of variables to vary with time. The method in this paper estimates the functions of varying-coefficient and selects variables simultaneously, which avoiding the intensive computation for the traditional variable selection. Applying this method to stock price, The variables are selected quickly which have significant effect on the return rate of stock from the numerous company financial variables, and estimate simultaneously the time-varying effect of those significant variables. The results show that this method works well.