%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%
%函數(shù)說明：
%函數(shù)作用：用來對(duì)數(shù)據(jù)進(jìn)行分段分段回歸
%輸入?yún)?shù)：
%Ref：用來對(duì)函數(shù)分段的參數(shù)值；Name：股票代碼（數(shù)字類型）；
%x：用于回歸的自變量；y：用于回歸的因變量；index：表示時(shí)間序列回歸（1）或橫截面回歸（2）。
%輸出參數(shù)：
%beta：每個(gè)月（每個(gè)股票）的每個(gè)因子的載荷；p：相對(duì)beta的每個(gè)p值；
%esmR：每只股票每個(gè)月估計(jì)收益率值；R2：相應(yīng)R方的值；esm：因子預(yù)測(cè)值。
%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%
function?[betapesmRR2esm]?=?FactorLoading（RefNamexyindex）
%index為1：時(shí)間序列回歸；為2：橫截面回歸
[mn]=size（x）;
q?=?size（unique（Ref）1）;
%得到每個(gè)月因子載荷（含截距項(xiàng)）（第q個(gè)月）（第q只股票）

beta（qn+1）?=?zeros（）;
p（qn+1）?=?zeros（）;
R2（q）?=?zeros（）;
esm（n+1q）?=?zeros（）;
if?index?==?1
????esmR（q2）?=?zeros（）;
elseif?index?==?2
????esmR（3002*q）?=?zeros（）;
end
first?=?1;
j?=?1;
for?i?=?2?:m
????if?isequal（Ref（i）Ref（i-1））?==?false?||?i?==?m
????????last?=i-1;
?????????if?last-fi

?屬性????????????大小?????日期????時(shí)間???名稱
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?????文件???????6148??2015-09-16?18:13??MatlabCode\.DS_Store

?????文件????4052592??2015-09-14?17:33??MatlabCode\300MonthFormulaRt.xlsx

?????文件???????1922??2015-09-16?18:02??MatlabCode\FactorLoading.m

?????文件???????5116??2015-09-16?17:51??MatlabCode\FactorMain.m

?????文件????????860??2015-09-16?18:11??MatlabCode\markowizt.m

?????文件???????1350??2015-09-16?18:14??MatlabCode\Pca.m

?????目錄??????????0??2015-11-10?17:06??MatlabCode

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??????????????4067988????????????????????7