Hi Caio,
I just replied to a fellow who needed to run a series of regressions changing
the dependent variables for the same period. I believe your solution might be
similar to that one, just making the window dynamic instead. I used a lapply to
store regressions and sapplys to extract stats from the lm()s. Please check the
attachment and hope it?s useful.
Filipe Botelho
-----Mensagem original-----
De: r-help-bounces at r-project.org [mailto:r-help-bounces at r-project.org] Em
nome de Caio Ramos Casimiro Enviada em: ter?a-feira, 31 de maio de 2011 12:23
Para: r-help at r-project.org
Assunto: [R] Using lm() combined with sapply
Dear list,
I spent a lot of time looking for the solution for this problem, but with no
success. It's the first time I came to the list to ask for help, so I'm
sorry if I break some protocol.
Well, I'm trying to make a serie of regressions in different periods,
actually, in growing periods. In other words, I start by make a regression in a
period from 1 to t, then I make another regression from 1 to t+1, and so on
until t+1 < N.
A loop version for this is:
a <- rep(1,100)+rnorm(100)
b <- rep(2,100)+rnorm(100)
c <- rep(1.5,100)+rnorm(100)
n.start <- 50
coefs <- array(NA,c(51,4))
for (i in (n.start:100)) coefs[i-n.start+1,] <- coef(lm(a ~ b + c,
subset=1:i))
I want to avoid loops, so I was trying to make something like:
regride <- function(formula,dat,sub,w) {
window <- c(1:sub)
w[1:sub-1] <- w[1:sub-1]*beta^sub
coefs(lm(formula=formula,data=dat,subset=window,weights=w))
}
coefs <- sapply(n_start:dim(ind)[1],regride,formula,dat,x)
But it's not working.
Best regards,
Caio Casimiro
--
Caio Ramos Casimiro
Software Developer
+55 11 9773 2809
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From: "Filipe Leme Botelho" <filipe.botelho at vpar.com.br>
Subject: RES: [R] Linear regression - several response variables vs few
indvariables
Date: Tue, 31 May 2011 13:03:06 -0300
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