For loop over different dimensions

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Anton Sørensen 2020-2-19

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评论： Anton Sørensen 2020-2-22

采纳的回答： darova

I have to loop over i portfolios with different dimensions, in order to obtain OLS estimates

My length of the portfolios can be anything between 60 to 180.

For now it is a fairly simple loop, if I just have a fixed length on say 180, however I can't find a solution, when I have to extend the loop and allow for different dimensions.

I am thinking I need to put a restriction on both my X matrix (Explanatory variables) and Y matrix (Portfolios), so the loop will switch to the different dimensions depending on which i'th portfolio it loops over.

Here is the loop now:

for i = 1:size(portfolios,2)

X=[alfa factor]; % My matrix containing explanatory variables

y=portfolios(:,i); % Between 60 and 180 observations

results=ols(y,X); % Functionen constructing a struct with prefered OLS estimates

estimates(:,i)=results.beta;

tstat(:,i)=results.tstat(1);

residuals=results.resid;

end

Thanks in advance.

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darova 2020-2-19

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I don't understand the question

X=[alfa factor]; % My matrix containing explanatory variables

alfa and factor are of different sizes? Are you trying to concantenate them?

Anton Sørensen 2020-2-19

编辑：Anton Sørensen 2020-2-19

No.

I have i portfolios of different lenghts, between 60 and 180 observations.

Then I have my explanatory variables (factors), they are 180 observations long.

Say, I have a portfolio that is 60 observations and one that is 100 observations.

I then want the loop to be able to first run an OLS regression that use the 60 observations for the first portfolio and regress those on the first 60 observations in my "factors" matrix and after that, the loop should be able to do that for the portfolio that is 100 long for the first 100 observations, and so on.

I hope it makes sense :)

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darova 2020-2-19

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What about filling with NaN?

y = portfolios(:,i); % Between 60 and 180 observation    
if length(portfolios(:,i)) < 180
    y(end+1:180) = nan;    
end
results = ols(y,X); % Functionen constructing a struct with prefered OLS estimates

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darova 2020-2-22

Happy to help!

Anton Sørensen 2020-2-22

If you can think of a way to load/import data of different dimensions without adding NaN to non filled entries, or you can loop directly without importing first, that would be of great help! I am struggling to see a solution, since my matrix is in different lengths. But, as I told you previously I will later provide my whole dataset and code for you to see, in that way the problem should be obvious, I know it is not easy to see it just from words..

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