How to run a fitlm regression for day of the week dummy variables for financial return data

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harry gallow
harry gallow 2018-6-26
回答： Spruha 2025-1-28，10:45
Hi, I am struggling with how to set up my data to run the fitlm function for day of the week dummy variables.
My data that I have set up in a (2500,6) matrix where C1 is the returns data and C2:C6 are column vectors of zeros and ones where C2 - 1 is for Monday C3 - 1 represents tuesday and so on.
My reults are as follows:
Fitlm:
-1.31153554169770 0.953057779050930 -1.37613434413573 0.169037651868845
-0.131905728387301 0.0695763306138066 -1.89584197993226 0.0582218112735167
0.0843907252336952 0.0872037277677016 0.967742175638410 0.333368798643977
0 0 NaN NaN
-0.0247423867293685 0.0984537148158696 -0.251309834023453 0.801617743803277
0.169341528221423 0.0952957370120605 1.77701053091169 0.0758206160733013
0.460051465197619 0.0967773549107878 4.75370984897974 2.23973346792996e-06
How do i correct my input to replace this row of Nan values?

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回答（1 个）

Spruha
Spruha 2025-1-28，10:45
Hello harry,
As you mentioned, you are experiencing issues with data setup for “fitml” function, resulting in the output containing NaN.
When you include dummy variables for all categories of a categorical variable (like days of the week) without a reference category, it leads to perfect multicollinearity.
To avoid this, one category is usually omitted, and its effect is captured in the intercept.
For more details about “fitml”, refer documentation:https://www.mathworks.com/help/stats/fitlm.html
Hope this helps.

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