Hi R-programmers !

I would like to perform a linear model regression month by month using the
'lm' function and i don't know how to do it.

The data is organised as below:
Month  ExcessReturn  Return  STO
8  0.047595875  0.05274292  0.854352503
8  0.016134874  0.049226941  4.399372005
8  -0.000443869  0.004357305  -1.04980297
9  0.002206554  -0.089068828  0.544809429
9  0.021296551  0.003795071  0.226875834
9  0.006741578  0.014104606  0.721986383

the model is:
ExcessReturn= a + b1*Return + b2*STO + u, u is the error term, a is the
intercept.

I would like to get two vectors of estimates (each of them containing the
estimation of b1 and b2) using the least squares estimation.

I tried it using 'aggregateè but it didn't seem to work.

Thank you for your help !

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