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POmultivariate regression with missing figures in each dependent variable
 

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  1. POmultivariate regression with missing figures in each dependent variable
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    <p>The dataset I have consists of the monthly returns of 1380 hedge funds but most of the funds have missing figures. I want to regress the monthly return of each single funds to some factors like Treasury Bond Yield (TBY). I tried to use a for loop to regress the monthly return of each funds to the factors but received the following error message:</p> <pre><code>#Error in lm.fit(x, y, offset = offset, singular.ok = singular.ok, ...) : # 0 (non-NA) cases </code></pre> <p>I have done some search on the internet and believe the problem is caused by list-wise deletion. I have reproduced a simple case to illustrate:</p> <pre><code>#create a dataframe A with 8 funds and two factors A&lt;-data.frame(fund1=rnorm(5),fund2=rnorm(5),fund3=rnorm(5),fund4=rnorm(5), fund5=rnorm(5),fund6=rnorm(5),fund7=rnorm(5),fund8=rnorm(5), SP500=rnorm(5),TBY=rnorm(5)) #replace some vlaue with NA A[1,3:5]&lt;-NA A[2,1:2]&lt;-NA A[3,3]&lt;-NA A[4,2:4]&lt;-NA A[5,1]&lt;-NA A[1:5,7]&lt;-NA A # build two data frames to split funds and factors funds&lt;-as.data.frame(A[,1:8]) factors&lt;-as.data.frame(A[,9:10]) # build empty data frame to store regression outputs results&lt;-data.frame(matrix(NA,ncol=4,nrow=8)) colnames(results)&lt;-c("estimates", "residual", "t", "p") rownames(results)&lt;-as.vector(colnames(funds)) for(i in 1:8){ fit&lt;-lm(as.vector(funds[,i])~TBY,data=factors,na.action=na.omit) results[i,1]&lt;-coef(summary(fit))[1,1] results[i,2]&lt;-coef(summary(fit))[1,2] results[i,3]&lt;-coef(summary(fit))[1,3] results[i,4]&lt;-coef(summary(fit))[1,4] } results </code></pre> <p>The final result looks like:</p> <pre><code> results # estimates residual t p # fund1 0.1039720 0.2486456 0.4181535 0.7478621 # fund2 -0.1040939 0.2464246 -0.4224168 0.7455554 # fund3 0.3869647 NaN NaN NaN # fund4 0.1349445 0.2107588 0.6402796 0.6374377 # fund5 0.7470140 0.4066014 1.8372147 0.2075786 # fund6 0.8305238 0.3845686 2.1596245 0.1196180 # fund7 NA NA NA NA # fund8 NA NA NA NA </code></pre> <p>The program stops looping at fund7. I believe the main reason is that the column of fund7 contains only <code>NA</code>s so that the loop fail to continue. Can anyone give me some suggestions to keep the program going in this situation? The outcome I wish to have is the constant of each regression model. Your comments will be so much appreciated. </p> <p>Thanks.</p>
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