[R] run many linear regressions against the same independent variables in batch

[Gabor Grothendieck]

This runs a regression of each column (except the first)
of matrix state.x77 against the first:

lm(state.x77[,-1] ~ state.x77[,1])

On 10/14/05, Heng Sun <HSun at dtcc.com> wrote:
> R function
> lm(response ~ term)
> allows me to run a linear regression on a single response vector. For
> example, I have recent one year historical prices for a stock and S&P
> index. I can run regression of the stock prices (as response vector)
> against the S&P index prices (as term vector).
>
> Now assume I have 1000 stocks to run the above regressions (against the
> same S&P index prices). The only way I know is that I write a loop. Within
> each loop I do the regression for one stock price.
>
> Is there a batch method to run the 1000 regressions in one shot? Note that
> this functionality is available in SAS (the SAS procedure "reg").
>
> Actually, some times we run such regressions for about 300K securities.
> Performing regressions in loop takes a long time. On the contrary, running
> on SAS is much faster.
>
> Thank you in advance.
>
> Heng Sun
> 212-855-5754
>
> Director
> Quantitative Risk
> Depository Trust and Clearing Corporation
>
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