statistics - Running many multiple OLS regressions at once in R -


i want run time series regressions (fama-french 3 factor new factor). have following tables.

table01      date     port_01  port_02 --------- port_18     01/1965     0.85    0.97               1.86     02/1965     8.96    7.2                0.98     03/1965     8.98    7.9                8.86   table 02      date        market   smb    hml     wxo     01/1965      0.85    0.97    0.86    0.87     02/1965      8.96    7.2     0.98    0.79     03/1965      8.98     7.9    8.86    0.86

i have run 18 regressions , store intercepts in vector. this

      port_1=inter(1)+beta1(market)+beta2(smb)+beta3(hml)+beta3(wxo)+e       port_2=inter(2)+beta1(market)+beta2(smb)+beta3(hml)+beta3(wxo)+e       port_18=inter(18)+beta1(market)+beta2(smb)+beta3(hml)+beta3(wxo)+e

i want these 18 intercepts stored in vector. can individually. if there way coding me lot of time.

consider vapply(), variant of lapply() allows specification of output here being atomic numeric vector (length of 1). however, first, need merge tables date field , create list of port formulas (assuming that's needed underlying data). below runs linear regression, lm, adjust actual model might require adjusting intercept extraction:

data <- merge(table_01, table_02, by="date")  ports <- colnames(table_01)[2:ncol(table_01)]     formulas <- paste(ports, "~ market + smb + hml + wxo")  intercepts <- vapply(formulas, function(i) {                            output <- lm(i, data)                           coef(output)["(intercept)"]                      }, numeric(1))

Comments

Post a Comment

Popular posts from this blog

jOOQ update returning clause with Oracle -

according http://www.jooq.org/doc/3.8/manual/sql-building/sql-statements/update-statement/ jooq doesn't support returning clause in update statements databases except firebird , postgres. does know, still correct oracle jooq? according oracle's documentation, oracle db supports returning clase delete, insert, or update statements. incorrect manual you're right - manual wrong , should fixed: https://github.com/jooq/jooq/issues/5470 single row update returning jooq 3.8 added support single row update .. returning statements. internally, uses callablestatement , pl/sql block of form: begin update "my_table" set "my_table"."column" = 'xyz' "my_table"."id" = 1 returning "my_table"."id", "my_table"."column" ?, ?; ? := sql%rowcount; end; the relevant issue is: https://github.com/jooq/jooq/issues/5190 multi row update returning a...
Read more

c# - Json.Net Serialize String from URI -

currently i'm using web request body of webpage strictly json. var request = webrequest.create("urihere"); string text; var response = (httpwebresponse)request.getresponse(); using (var sr = new streamreader(response.getresponsestream())) { text = sr.readtoend(); } now i've got string of json in variable i'm trying figure out how parse data. i'm attempting use json.net below: user primaryuser = new models.user(); primaryuser.fullname = "test"; jsonserializer serializer = new jsonserializer(); serializer.converters.add(new javascriptdatetimeconverter()); serializer.nullvaluehandling = nullvaluehandling.ignore; using (streamwriter sw = new streamwriter("filenamehere")) using (jsonwriter writer = new jsontextwriter(sw)) { serializer.serialize(writer, primary...
Read more

java - Warning equals/hashCode on @Data annotation lombok with inheritance -

i have entity inherits other. on other hand, i'm using lombok project reduce boilerplate code, put @data annotation. annotation @data inheritance produces next warning: generating equals/hashcode implementation without call superclass, though class not extend java.lang.object. if intentional, add '@equalsandhashcode(callsuper=false)' type. is advisable add annotation @equalsandhashcode (callsuper = true) or @equalsandhashcode (callsuper = false) ? if not added, 1 callsuper=false or callsuper=true ? the default value false . 1 if don't specify , ignore warning. yes, recommended add @equalsandhashcode annotation on @data annotated classes extend else object. cannot tell if need true or false , depends on class hierarchy, , need examined on case-by-case basis. however, project or package, can configure in lombok.config call super methods if not direct subclass of object. lombok.equalsandhashcode.callsuper = call for configuration system ...
Read more