Regression Residuals from a Matrix/ Autocorrelation/ Durbin Watson Test

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stefan strasser
stefan strasser 2012-12-6
Hello guys, I need to retrieve residuals of a regression in order to do a durbin watson test. the dataset "returns" is 73 columns and 8772 rows. cols are different assets and rows are observations. using the following code it does not loop through all assets… How do i need to change that loop so it goes through all columns and i arrive at retrieving the residuals of the dimension 73 columns 8771 lines?
returns=price2ret(energy);
noofassets=size(returns,2);
for i=1:noofassets
[b,bint,r,rint]=regress(returns(2:end,i),[ones(size(returns,1)-1,1) returns(1:(end-1),i)]);
resids(:,i)=r;
end % end i
Thank you very much for your help!! Stefan

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