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Asked by Andrew Kreitzman
on 2 Jul 2013

So I am running a regression of monthly returns for about 30000 stocks (each regression is run separately for stocks grouped by country) over anout 9 different factors. I am using this for loop to loop through every file, because each month's data is stored in a differentfile. I am trying to use a structure with fields to represent all of the outputs of my multivariate regression function, but when the regression is complete, every part of the 1x196 structure labeled 'regression_structure' is exactly the same! It just copied over the first month's rgeression 196 times. Where did I go wrong!?

for i=1:num_months % need to pass file names for monthly data files file1 = MRET_files(i).name; file2 = RSK_files(i).name; [industry_rep_cell, country_rep_array,u_country_codes, u_industries, beta, mv] = Factor_Returns_Function(file1, file2);

regression_structure(i).rep_industries = industry_rep_cell; regression_structure(i).rep_countries = country_rep_array; regression_structure(i).all_industries = u_industries; regression_structure(i).all_countries = u_country_codes; regression_structure(i).beta_simple = beta; regression_structure(i).beta_multi = mv.beta1; end

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Answer by the cyclist
on 2 Jul 2013

Edited by the cyclist
on 2 Jul 2013

This simple code gives different values for each element of the structure:

for i=1:196 [B,bint] = regress(rand(3,1),rand(3,1)); regression_structure(i).B = B; regression_structure(i).bint = bint; end

This test suggests to me that the problem is either

- Your structures
*MRET_files(i).name*and*RSK_files(i).name*are not actually different for different values of*i*, or - Your function
*Factor_Returns_Function*doesn't actually process the inputs the way you think

I can't test those hypotheses.

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the cyclist
on 2 Jul 2013

Do you know how to use debug mode? You can step through your code line-by-line (probably just for i=1 and i=2 in your case) to see why there are no differences in the result, even when then inputs are different.

Andrew Kreitzman
on 2 Jul 2013

Ill check that out! I am teaching myself matlab while i use it at work, so i am learning new stuff every day. Thanks!

the cyclist
on 3 Jul 2013

This may help you understand the debugging tools:

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