Hi R-programmers !
I would like to perform a linear model regression month by month 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 get two vectors of estimates (each of them containing the
estimation of b1 and b2) using the least squares estimation.
I tried it using 'aggregateè but it didn't seem to work.
Thank you for your help !
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