> dat <-
+ "Month ExcessReturn Return STO
+ 8 0.047595875 0.05274292 0.854352503
+ 8 0.016134874 0.049226941 4.399372005
+ 8 -0.000443869 0.004357305 -1.04980297
+ 9 0.002206554 -0.089068828 0.544809429
+ 9 0.021296551 0.003795071 0.226875834
+ 9 0.006741578 0.014104606 0.721986383
+ "
> dat <- read.table(textConnection(dat), header = T)
> dat <- transform(dat, Month = factor(paste("M", Month, sep="")))
>
> FM <- lm(ExcessReturn ~ Month/(Return+STO) - 1, dat)
>
> coef(FM)
MonthM8 MonthM9
-0.014043930 0.028057112
MonthM8:Return MonthM9:Return
1.291688338 0.097940939
MonthM8:STO MonthM9:STO
-0.007593598 -0.031436815
>
#####
the coefficients are two intercepts, two slopes on Return, two slopes on
STO.
Why must it be "lm"? It might be simple to use lmList from the nlme
package.
Bill Venables
CSIRO Laboratories
PO Box 120, Cleveland, 4163
AUSTRALIA
Office Phone (email preferred): +61 7 3826 7251
Fax (if absolutely necessary): +61 7 3826 7304
Mobile: (I don't have one!)
Home Phone: +61 7 3286 7700
mailto:[EMAIL PROTECTED]
http://www.cmis.csiro.au/bill.venables/
-----Original Message-----
From: [EMAIL PROTECTED]
[mailto:[EMAIL PROTECTED] On Behalf Of Benoit Chemineau
Sent: Monday, 28 May 2007 11:48 PM
To: r-help@stat.math.ethz.ch
Subject: [R] linear model by month
Hi R-programmers !
I would like to perform a linear model regressio using the 'lm' function
and
i don't know how to do it.
The data is organised as below:
Month ExcessReturn Return STO
8 0.047595875 0.05274292 0.854352503
8 0.016134874 0.049226941 4.399372005
8 -0.000443869 0.004357305 -1.04980297
9 0.002206554 -0.089068828 0.544809429
9 0.021296551 0.003795071 0.226875834
9 0.006741578 0.014104606 0.721986383
the model is:
ExcessReturn= a + b1*Return + b2*STO + u, u is the error term, a is the
intercept.
I would like to have monthly estimates of b1 and b2 using the least
squares
estimation. (b1month8 and b2month8, b1month9 and b2month9).
Thank you for your help !
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______________________________________________
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PLEASE do read the posting guide http://www.R-project.org/posting-guide.html
and provide commented, minimal, self-contained, reproducible code.
