/*****ubridge bic for bridge estimators,setup1 for a given c ,no time trend, but intercept, Table 1b, Design1*****/ cls; p=5; t=100+p; i=1;ite=1000; rej=zeros(ite,1); do while i<=ite; seed=1001; e=rndn(t,1);y0=zeros(p,1); rh00=-0.2; zeta1=-0.4; zeta2=0; zeta3=0.7; zeta4=0; phi1=1+rh00+zeta1; phi2=-zeta1+zeta2; phi3=-zeta2+zeta3; phi4=-zeta3+zeta4; phi5=-zeta4; phi=phi1|phi2|phi3|phi4|phi5; zy=recserar(e,y0,phi); /***time trend case put 0.1 infront of seqa, and intercept put 0.5 in front of ones****/ y=zy+0.5*ones(t,1)+0.0*seqa(1,1,t); /*************data is ready*****/ /***form the regressors***/ dy=y[p+1:t]-y[p:t-1]; yl=y[p:t-1]; dyl=zeros(t-p,p-1); jjj=1; do while jjj<=p-1; dyl[.,jjj]=y[p-jjj+1:t-jjj]-y[p-jjj:t-jjj-1]; jjj=jjj+1; endo; /****************/ x=yl~ones(t-p,1)~seqa(1,1,t-p)~dyl; /***in.value for local quadratic****/ rhoi=-0.025; ini=0.48; tti=0.02; zeta1i=-.62; zeta2i=-.02; zeta3i=-0.62; zeta4i=-0.02; zetai=zeta1i|zeta2i|zeta3i|zeta4i; /****************/ g1=1/4;g2=1/2;g3=1/3; g4=1/2; lam1={0.1,1,10,100}; /***for penalty 4****/ s1=sumc(abs(zetai).^(g2)); s22=g2*sumc(abs(zetai).^(g2-2)); /************/ bet=zeros(p+2,1);/***p+2 for time trend, p+1 for the other case***/ library optmum; _opalgr=2; __output=0; nb1=zeros(1,4); nb=zeros(p+1,1); nbs=zeros(p+2,1); bic=zeros(4,1); c=14; ii=1; do while ii<=4;/***no of lambda choices****/ {bee,f,g,retcode}=optmum(&fct,bet); /****truncation steps*****/ if bee[1]>-c/t; nb1[1,ii]=0; else; nb1[1,ii]=bee[1]; endif; if abs(bee[3])