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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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
I can't test those hypotheses.