[R] How to extract residuals from multiple regressions from a loop
Ben Ammar
Ben-Ammar at gmx.de
Mon Oct 28 14:19:36 CET 2013
Dear all
I've got the following problem, I want to extract the residuals from
regression loops. The problem here is that some columns include NA's at the
beginning and end (i.e. each time series of stocks starts at different
points in time and ends at different points in time). When I want to
transfer these residuals into a matrix to determine the residual matrix, I
get the error message ("number of items to replace is not a multiple of
replacement length"). I tried it with na.action=na.exclude but that doesn't
work because that command doesn't actually change the vector length. With a
loop I came this far:
Number of stocks is 50 and maximum time period is 258 months:
for (i in 1:50) {CAPM.res[,i] <- residuals(lm(timeseries[,i]~exc.mkt),
na.action=na.exclude)}
as I said it doesn't work because of the different column length in the
matrix "timeseries". So right now I'm doing kind of manually which works
perfectly but is quite intensive and looks like that:
test.1 <- lm(timeseries[,1]~exc.mkt, na.action=na.exclude)
residual.test.1 <- residuals(test.1)
CAPM.res[,1] <- residual.Life.1
test.2 <- lm(timeseries[,2]~exc.mkt, na.action=na.exclude)
residual.test.2 <- residuals(test.2)
CAPM.res[,2] <- residual.test.2
....and so on for the remaining 49 stocks. When I look at that I obviously
see that this must be done with a loop but in the end I can't put in the
matrix because of the different lengths. So far I got this:
test<-matrix(0,50,258)
residual.test<-matrix(0,50,258)
for (i in 1:50) {lm(timeseries[,i]~exc.mkt, na.action=na.exclude)
{residual.test[i] <- residuals(test[i])
{CAPM.res[,i] <- residual.test[i]
}}}
but here I get the error message: "Error: $ operator is invalid for atomic
vectors"
and I don't think "test" and "residual.test" is defined correctly because I
don't know where to look for the residuals.
Does anyone have an idea how to extract the residuals and put them in a
258x50 matrix?
Any help would be very much appreciated!
Cheers,
Ben
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