Dear useRs, I am stuck with a piece of code and hope you could give me some pointers.
My aim is to calculate the lm-regression coefficients of individual stocks against an index. I am interested in both the coefficient and the pval. While I could do this manually for a select hand full, I hope to scale this up say for 30+ stocks (DAX-30, FTSE-100 etc.) to eventually have a matrix of coefficients and p-values for each individual stock. First, let's get share prices: library(tseries) sie <- get.hist.quote(instrument="SIE.DE", start="2010-01-01", quote="AdjClose") vow <- get.hist.quote(instrument="VOW.DE", start="2010-01-01", quote="AdjClose") lin <- get.hist.quote(instrument="LIN.DE", start="2010-01-01", quote="AdjClose") dax <- get.hist.quote(instrument="^GDAXI", start="2010-01-01", quote="AdjClose") returns.table <- diff(log(na.omit(merge(dax, lin, sie, vow)))) My function to get the betas pval is: B <- function(share,bench){ beta <- summary(lm(share~bench))$coef[2] pval <- summary(lm(share~bench))$coef[8] coefs <- t(as.matrix(c(beta, pval), ncol=2, byrow=TRUE)) coefs } The function B works fine: B(returns[,2],returns[,1]) > B(returns[,2],returns[,1]) [,1] [,2] [1,] 0.7568787 9.740043e-47 Now, at the following step I am stuck. I am trying to loop through my returns.table: Attempt 1: for(i in 2:4){result[i] <- B(returns[,i],returns[,1]); result} Error in result[i] <- B(returns[, i], returns[, 1]) : object 'result' not found Attempt 2: for(i in 2:4){print(B(returns[,i],returns[,1]))} [,1] [,2] [1,] 0.7568787 9.740043e-47 [,1] [,2] [1,] 1.311835 2.924594e-86 [,1] [,2] [1,] 1.023310 1.078007e-30 Attempt 2 gets me a little closer to the desired matrix of coefficient and pval by each share. What am I doing wrong here? Any pointers most welcome. Many thanks in advance! Regards, Bernd ______________________________________________ R-help@r-project.org mailing list https://stat.ethz.ch/mailman/listinfo/r-help PLEASE do read the posting guide http://www.R-project.org/posting-guide.html and provide commented, minimal, self-contained, reproducible code.