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

From: Heng Sun <HSun_at_dtcc.com>
Date: Sat 15 Oct 2005 - 02:51:03 EST


Thank you Gabor.

I suspected R could do that. But I tried a data frame and it did not work. Now I test for matrix and it works. So it seems performing many regressions in one shot works for a matrix, but not a data frame.

Heng

Gabor Grothendieck <ggrothendieck@gmail.com> 10/14/2005 12:05 PM

To
Heng Sun <HSun@dtcc.com>
cc
r-help@stat.math.ethz.ch
Subject
Re: [R] run many linear regressions against the same independent variables in batch

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@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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>
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https://stat.ethz.ch/mailman/listinfo/r-help PLEASE do read the posting guide! http://www.R-project.org/posting-guide.html Received on Sat Oct 15 03:06:59 2005

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