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Major regression loop for residuals

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Tomás Nunes
Tomás Nunes on 17 Apr 2018
Closed: MATLAB Answer Bot on 20 Aug 2021
Hi. I have a 7567x32 matrix with returns and another one with signals, such as 1, -1 and 0. I am supposed to compute a regression over t-30:t-1 returns every time the second matrix has a 1 or -1 (every row has four non-zeros). This means that I should do a regression over the 30 days previous to the one day when I have the 1 or -1 signal. What I want to get from the regression is the residuals, so every time I do a regression I should get 30 residuals. I believe that the best way to keep the residuals would be to have them populating a 7567*4 matrix with each cell being a 30*1 matrix.
Does anyone know how to solve this? I accept suggestions on better ways to keep the residuals.
Thank you all
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Tomás Nunes
Tomás Nunes on 17 Apr 2018
yes, a straight line fit. I already have the predictor.
exactly, t would be the row of the signal (-1/1). And I should regress over the previous 30 days, therefore from t-30 until t-1.
thx

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