How to use splitapply with fitlm
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Hi,
I want to run a regression for 2 diffrent stocks for each year of observation separately. So i get a new Betas for each stock and each year. The goal is to assign the residuals to ID and dates. I upload the set I'm using. The regression looks like this:
RET = Beta0 + Beta1 * MRET
RET is the returns of the stocks and MRET the return of the Market.
My idea was to you use the splitapply function. But my code isn't working. I guess the problem is in line 3.
[group6, years, ID]= findgroups(subset1.years, subset1.ID);
[group7, dates]= findgroups(subset1.years, subset1.ID);
regression = @(y) fitlm(subset1.MRET,subset1.RET);
lm2 = splitapply(regression, subset1.MRET,group6);
Resitbl = table (ID,dates, lm2.Residuals.Raw);
regress function would also work for me. But it also didn't work for me.
Thanks in advance
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