[R] Multiple, multiple regressions...

[Duncan, Adam]

Caveats and disclaimers:
I am quite happy to undertake self-teaching if directed to a relevant
prior posting and welcome such
direction. I have programming and statistical training/experience which
I would characterize as Masters level. 
Thank you for reading and replying to this post. It is very much
appreciated.

---begin problem description

I have a large data set that I have imported to R from excel via the
RODBC library.
The data set contains information about 4 factors for 22 currency pairs
per factor. That is,
the first 22 columns are, say, the spot exchange rate. The next 22
columns are, say, the interest
rate differential, and so on. There is a singular vector in the data set
at the end bringing the total
number of columns to 89.

The objective is to run a multiple regression of the form:

X ~ v1 + v3 + v3 + v4 + v5

and display a plot of the residuals. The tough part is that I need to
run this multiple regression 22 times, once for 
each currency pair. I would like to produce a graphic that contains,
say, the first 8 residual plots on one page. Ultimately,
I would like to produce standardized residuals for each regression, and
rank them in order of the absolute value of
the most recent residual. 

I have created matrix variables to house each of the 22 currency
variables. Here is a result of examining the 
matrix variable "idiff" that holds the interest rate differentials:

 head(idiffm,5)
  EURINTDIF GBPINTDIF JPYINTDIF CHFINTDIF CADINTDIF AUDINTDIF NZDINTDIF
SEKINTDIF NOKINTDIF EURJPYINTDIF EURGBPINTDIF
1  -0.02562  -0.16125   0.47000   0.56542  -0.23625   3.64625   2.57875
0.16875  -1.82625      0.44438      0.13563
2  -0.01125  -0.13813   0.45188   0.54521  -0.25979   3.68062   2.60312
0.13688  -1.88812      0.44063      0.12688
3   0.01313  -0.11875   0.42875   0.51667  -0.28583   3.70500   2.62750
0.11750  -1.91750      0.44188      0.13188
4   0.01313  -0.11875   0.42875   0.51667  -0.28583   3.70500   2.62750
0.11750  -1.91750      0.44188      0.13188
5   0.01313  -0.11875   0.42875   0.51667  -0.28583   3.70500   2.62750
0.11750  -1.91750      0.44188      0.13188
  EURCHFINTDIF EURCADINTDIF EURAUDINTDIF EURNZDINTDIF EURSEKINTDIF
EURNOKINTDIF NOKSEKINTDIF CADJPYINTDIF AUDJPYINTDIF
1      0.53980      1.50000     -3.67187     -2.60437      0.14313
-1.85187        1.995      0.70625      4.11625
2      0.53396      1.50167     -3.69187     -2.61437      0.12563
-1.89937        2.025      0.71167      4.13250
3      0.52980      1.49833     -3.69187     -2.61437      0.13063
-1.90437        2.035      0.71458      4.13375
4      0.52980      1.49833     -3.69187     -2.61437      0.13063
-1.90437        2.035      0.71458      4.13375
5      0.52980      1.49833     -3.69187     -2.61437      0.13063
-1.90437        2.035      0.71458      4.13375
  GBPJPYINTDIF NZDJPYINTDIF
1      0.30875      3.04875
2      0.31375      3.05500
3      0.31000      3.05625
4      0.31000      3.05625
5      0.31000      3.05625

---end problem description

Can someone point me to a script that might be useful in running all 22
of these multiple regressions and plotting the residuals
(or at least the first 8-10) in a singular graphic?

Thank you very much for the help.

Best regards,

-adam duncan
adam.duncan at credit-suisse.com

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