Message-ID: <45272633-bd71b012a593bdb925f36b87b43e3eaa@pmq5.m5r2.onet>
Date: 2013-07-27T20:46:59Z
From: iza.ch1
Subject: linear fit function with NA values
Hi
Thanks for your hints. I would like to describe my problem better and give an examle of the data that I use.
I conduct the event study and I need to create abnormal returns for the daily stock prices. I have for each stock returns from time period of 8 years. For some days I don't have the data for many reasons. in excel file they are just empty cells but I convert my data into 'zoo' and then it is transformed into NA. I get something like this
return
ATI AMU
-1 0.734 9.003
0 0.999 2.001
1 3.097 -1.003
2 NA NA
3 NA 3.541
median
ATI AMU
-1 3.224 -2.003
0 2.999 -1.301
1 1.3 -1.003
2 4.000 2.442
3 -10 4.511
I want to regress first column return with first column median and second column return with second column median. when I do
OLS<-lapply(seq_len(ncol(return)),function(i) {lm(return[,i]~median[,i])})
I get an error message. I would like my function to omit the NAs and for example for ATI returns to take into account only the values for -1,0,1 and regress it against the same values from ATI in median which means it would also take only (3.224, 2.999, 1.3)
Is it possible to do it?
Thanks a lot
W dniu 2013-07-27 17:33:30 u?ytkownik arun <smartpink111 at yahoo.com> napisa?:
>
>
> HI,
> set.seed(28)
> dat1<- as.data.frame(matrix(sample(c(NA,1:20),100,replace=TRUE),ncol=10))
>
> set.seed(49)
> dat2<- as.data.frame(matrix(sample(c(NA,40:80),100,replace=TRUE),ncol=10))
> ?lapply(seq_len(ncol(dat1)),function(i) {lm(dat2[,i]~dat1[,i])}) #works bcz the default setting removes NA
> Regarding the options:
> ?lm()
> na.action: a function which indicates what should happen when the data
> ????????? contain ?NA?s.? The default is set by the ?na.action? setting
> ????????? of ?options?, and is ?na.fail? if that is unset.? The
> ????????? ?factory-fresh? default is ?na.omit?.? Another possible value
> ????????? is ?NULL?, no action.? Value ?na.exclude? can be useful.
>
> ?lapply(seq_len(ncol(dat1)),function(i) {lm(dat2[,i]~dat1[,i],na.action=na.exclude)})
> #or
> ?lapply(seq_len(ncol(dat1)),function(i) {lm(dat2[,i]~dat1[,i],na.action=na.omit)})
>
> lapply(seq_len(ncol(dat1)),function(i) {lm(dat2[,i]~dat1[,i],na.action=na.fail)})
> #Error in na.fail.default(list(`dat2[, i]` = c(54L, 59L, 50L, 64L, 40L,? :
> ?# missing values in object
>
> In your case, the error is different.? It could be something similar to the below case:
> dat1[,1]<- NA
>
> lapply(seq_len(ncol(dat1)),function(i) {lm(dat2[,i]~dat1[,i],na.action=na.omit)})
> #Error in lm.fit(x, y, offset = offset, singular.ok = singular.ok, ...) :
> ?# 0 (non-NA) cases # here it is different
>
> ?lapply(seq_len(ncol(dat1)),function(i) {try(lm(dat2[,i]~dat1[,i]))}) #works in the above case.? It may not work in your case.
>
> You need to provide a reproducible example to understand the situation better.
> A.K.
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> ----- Original Message -----
> From: iza.ch1 <iza.ch1 at op.pl>
> To: r-help at r-project.org
> Cc:
> Sent: Saturday, July 27, 2013 8:47 AM
> Subject: [R] linear fit function with NA values
>
> Hi
>
> Quick question. I am running a multiple regression function for each column of two data sets. That means as a result I get several coefficients. I have a problem because data that I use for regression contains NA. How can I ignore NA in lm function. I use the following code for regression:
> OLS<-lapply(seq_len(ncol(es.w)),function(i) {lm(es.w[,i]~es.median[,i])})
> as response I get
> Error in lm.fit(x, y, offset = offset, singular.ok = singular.ok, ...) :
> ? all values NA
>
> thanks for help :)
>
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>
>