http://stackoverflow.com/questions/42422860/error-handling-with-try-catch-record-loop-variable?noredirect=1#comment72018426_42422860

tryCatch.R

df1 <- data.table::data.table(
    Country = c("Germany", "France"), 
    y = rnorm(10), 
    x = rnorm(10)
)

# Option 1: non-environment object + special assignment operator
failed.countries <- character()
for (country in c("France","USA", "Germany")) {
    tryCatch({
        lm(y ~ x, data = df1[Country == country])
    }, error = function(e) {
        failed.countries <<- c(failed.countries, country)
    })
}

failed.countries
# [1] "USA"

# Options 2: environment object + ordinary assignment operator
failed.countries <- new.env()
for (country in c("France","USA", "Germany")) {
    tryCatch({
        lm(y ~ x, data = df1[Country == country])
    }, error = function(e) {
        failed.countries[[country]] <- TRUE
    })
}

ls(failed.countries)
# [1] "USA"