Can you trim down your example to a size where you can show us the data (using dump() or dput()) and the commands you used so one can just copy it from your mail and paste it into R to reproduce the problem?
I don't see your problem when I made up data similar to what you described: > timeseries <- ts(cbind(c(NA, 2:9, NA), c(1,NA,3,NA,5:10), c(rep(NA,9), 10))) > exc.mkt <- log(1:10) > for(i in 1:ncol(timeseries)) > print(length(residuals(lm(timeseries[,i]~exc.mkt, na.action=na.exclude)))) [1] 10 [1] 10 [1] 10 > # without na.action=na.exclude residuals do vary in length > for(i in 1:ncol(timeseries)) > print(length(residuals(lm(timeseries[,i]~exc.mkt)))) [1] 8 [1] 8 [1] 1 Bill Dunlap Spotfire, TIBCO Software wdunlap tibco.com > -----Original Message----- > From: r-help-boun...@r-project.org [mailto:r-help-boun...@r-project.org] On > Behalf > Of Ben Ammar > Sent: Monday, October 28, 2013 6:20 AM > To: r-help@r-project.org > Subject: [R] How to extract residuals from multiple regressions from a loop > > > Dear all > > I've got the following problem, I want to extract the residuals from > regression loops. The problem here is that some columns include NA's at the > beginning and end (i.e. each time series of stocks starts at different > points in time and ends at different points in time). When I want to > transfer these residuals into a matrix to determine the residual matrix, I > get the error message ("number of items to replace is not a multiple of > replacement length"). I tried it with na.action=na.exclude but that doesn't > work because that command doesn't actually change the vector length. With a > loop I came this far: > Number of stocks is 50 and maximum time period is 258 months: > > for (i in 1:50) {CAPM.res[,i] <- residuals(lm(timeseries[,i]~exc.mkt), > na.action=na.exclude)} > > as I said it doesn't work because of the different column length in the > matrix "timeseries". So right now I'm doing kind of manually which works > perfectly but is quite intensive and looks like that: > test.1 <- lm(timeseries[,1]~exc.mkt, na.action=na.exclude) > residual.test.1 <- residuals(test.1) > CAPM.res[,1] <- residual.Life.1 > > test.2 <- lm(timeseries[,2]~exc.mkt, na.action=na.exclude) > residual.test.2 <- residuals(test.2) > CAPM.res[,2] <- residual.test.2 > > ....and so on for the remaining 49 stocks. When I look at that I obviously > see that this must be done with a loop but in the end I can't put in the > matrix because of the different lengths. So far I got this: > test<-matrix(0,50,258) > residual.test<-matrix(0,50,258) > for (i in 1:50) {lm(timeseries[,i]~exc.mkt, na.action=na.exclude) > {residual.test[i] <- residuals(test[i]) > {CAPM.res[,i] <- residual.test[i] > }}} > > but here I get the error message: "Error: $ operator is invalid for atomic > vectors" > and I don't think "test" and "residual.test" is defined correctly because > I > don't know where to look for the residuals. > > Does anyone have an idea how to extract the residuals and put them in a > 258x50 matrix? > Any help would be very much appreciated! > > Cheers, > Ben > ______________________________________________ > 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. ______________________________________________ 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.
