Write a function() that does everything you want to do for one
regression, then run that on all of them. It'll look something like
this.
library(car)
myreg=function(X,v1,v2,v3,v4,v5) {
reg=lm(X ~ v1 + v2 + v3 + v4 + v5)
crPlots(reg)
}
Then run the function a lot, maybe in a loop or with sapply().
Tom
2010/10/26 Duncan, Adam <adam.duncan at
credit-suisse.com>:>
> Caveats and disclaimers:
> I am quite happy to undertake self-teaching if directed to a relevant
> prior posting and welcome such
> direction. I have programming and statistical training/experience which
> I would characterize as Masters level.
> Thank you for reading and replying to this post. It is very much
> appreciated.
>
> ---begin problem description
>
> I have a large data set that I have imported to R from excel via the
> RODBC library.
> The data set contains information about 4 factors for 22 currency pairs
> per factor. That is,
> the first 22 columns are, say, the spot exchange rate. The next 22
> columns are, say, the interest
> rate differential, and so on. There is a singular vector in the data set
> at the end bringing the total
> number of columns to 89.
>
> The objective is to run a multiple regression of the form:
>
> X ~ v1 + v3 + v3 + v4 + v5
>
> and display a plot of the residuals. The tough part is that I need to
> run this multiple regression 22 times, once for
> each currency pair. I would like to produce a graphic that contains,
> say, the first 8 residual plots on one page. Ultimately,
> I would like to produce standardized residuals for each regression, and
> rank them in order of the absolute value of
> the most recent residual.
>
> I have created matrix variables to house each of the 22 currency
> variables. Here is a result of examining the
> matrix variable "idiff" that holds the interest rate
differentials:
>
> ?head(idiffm,5)
> ?EURINTDIF GBPINTDIF JPYINTDIF CHFINTDIF CADINTDIF AUDINTDIF NZDINTDIF
> SEKINTDIF NOKINTDIF EURJPYINTDIF EURGBPINTDIF
> 1 ?-0.02562 ?-0.16125 ? 0.47000 ? 0.56542 ?-0.23625 ? 3.64625 ? 2.57875
> 0.16875 ?-1.82625 ? ? ?0.44438 ? ? ?0.13563
> 2 ?-0.01125 ?-0.13813 ? 0.45188 ? 0.54521 ?-0.25979 ? 3.68062 ? 2.60312
> 0.13688 ?-1.88812 ? ? ?0.44063 ? ? ?0.12688
> 3 ? 0.01313 ?-0.11875 ? 0.42875 ? 0.51667 ?-0.28583 ? 3.70500 ? 2.62750
> 0.11750 ?-1.91750 ? ? ?0.44188 ? ? ?0.13188
> 4 ? 0.01313 ?-0.11875 ? 0.42875 ? 0.51667 ?-0.28583 ? 3.70500 ? 2.62750
> 0.11750 ?-1.91750 ? ? ?0.44188 ? ? ?0.13188
> 5 ? 0.01313 ?-0.11875 ? 0.42875 ? 0.51667 ?-0.28583 ? 3.70500 ? 2.62750
> 0.11750 ?-1.91750 ? ? ?0.44188 ? ? ?0.13188
> ?EURCHFINTDIF EURCADINTDIF EURAUDINTDIF EURNZDINTDIF EURSEKINTDIF
> EURNOKINTDIF NOKSEKINTDIF CADJPYINTDIF AUDJPYINTDIF
> 1 ? ? ?0.53980 ? ? ?1.50000 ? ? -3.67187 ? ? -2.60437 ? ? ?0.14313
> -1.85187 ? ? ? ?1.995 ? ? ?0.70625 ? ? ?4.11625
> 2 ? ? ?0.53396 ? ? ?1.50167 ? ? -3.69187 ? ? -2.61437 ? ? ?0.12563
> -1.89937 ? ? ? ?2.025 ? ? ?0.71167 ? ? ?4.13250
> 3 ? ? ?0.52980 ? ? ?1.49833 ? ? -3.69187 ? ? -2.61437 ? ? ?0.13063
> -1.90437 ? ? ? ?2.035 ? ? ?0.71458 ? ? ?4.13375
> 4 ? ? ?0.52980 ? ? ?1.49833 ? ? -3.69187 ? ? -2.61437 ? ? ?0.13063
> -1.90437 ? ? ? ?2.035 ? ? ?0.71458 ? ? ?4.13375
> 5 ? ? ?0.52980 ? ? ?1.49833 ? ? -3.69187 ? ? -2.61437 ? ? ?0.13063
> -1.90437 ? ? ? ?2.035 ? ? ?0.71458 ? ? ?4.13375
> ?GBPJPYINTDIF NZDJPYINTDIF
> 1 ? ? ?0.30875 ? ? ?3.04875
> 2 ? ? ?0.31375 ? ? ?3.05500
> 3 ? ? ?0.31000 ? ? ?3.05625
> 4 ? ? ?0.31000 ? ? ?3.05625
> 5 ? ? ?0.31000 ? ? ?3.05625
>
> ---end problem description
>
> Can someone point me to a script that might be useful in running all 22
> of these multiple regressions and plotting the residuals
> (or at least the first 8-10) in a singular graphic?
>
> Thank you very much for the help.
>
> Best regards,
>
> -adam duncan
> adam.duncan at credit-suisse.com
>
>
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