[R] Linear regression repeat for each column

iza.ch1 iza.ch1 at op.pl
Sun Jul 21 01:55:10 CEST 2013

Hi everyone

I need to calculate abnormal returns for different events applying event study methodology. I must create a market model in order to perform the analysis. I apply regression analysis to get OLS estimators.

I have a problem to create a linear regression which I could repeat for each column in two different data frames (one with explainatory and one with explaning variables). It means that I want to regress column 1 from first data frame with column 1 from second data frame,, clumn two with column two etc. I tried to use the following code:#x  is matrix containing stock returns
y is matrix containing market index                           
t[i] <- lapply(t[i], lm(x[,1]~y[,i]))

but it is not working.

Could anybody help me?

Thanks a lot


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