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

From: Heng Sun <HSun_at_dtcc.com>
Date: Sat 15 Oct 2005 - 01:55:40 EST


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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