Message-ID: <629e5be9986f472391f68845b92c2de8@PLONINEXMS136.maninvestments.ad.man.com>
Date: 2016-05-23T07:13:00Z
From: Aleksandrovic, Aljosa (Pfaeffikon)
Subject: Linear Regressions with non-negativity constraint
Hi all,
I hope you are doing well?
I'm currently using lm() to estimate a linear multi-factor (5 factors without intercept) model as follows ...
factor.lm <- lm(y~x1+x2+x3+x4+x5-1, data = data.frame.rbind)
Using nnls(A,b) I estimated the same model, extended by a non-negativity constraint on the 5 independent factors. It works quite well but unfortunately nnls() only returns the x estimates. Is there a way to extract the Std.Errors, t-values, p-valuess and R^2 as well?
Thanks in advance and kind regards,
Aljosa
Aljosa Aleksandrovic, FRM, CAIA
Senior Quantitative Analyst - Convertibles
aljosa.aleksandrovic at man.com
Tel +41 55 417 76 03
Man Investments (CH) AG
Huobstrasse 3 | 8808 Pf?ffikon SZ | Switzerland
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