[R] question reg. conditional regression

[Bernd Dittmann]

Hi useRs,

I have been running a regression of the following kind:



 > summary(lm(dx[2:2747] ~ 0 + (dx[1:2746]>15)))

Call:
lm(formula = dx[2:2747] ~ 0 + (dx[1:2746] > 15))

Residuals:
      Min        1Q    Median        3Q       Max
-46.35871  -3.15871   0.04129   3.04129  30.04129

Coefficients:
                      Estimate Std. Error t value Pr(>|t|)   
dx[1:2746] > 15FALSE -0.04129    0.11467  -0.360    0.719   
dx[1:2746] > 15TRUE   3.49333    0.88309   3.956 7.82e-05 ***
---
Signif. codes:  0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1

Residual standard error: 5.924 on 2712 degrees of freedom
Multiple R-Squared: 0.005784,   Adjusted R-squared: 0.005051
F-statistic: 7.889 on 2 and 2712 DF,  p-value: 0.0003835



In this model, I have lagged the differences series dx (whereby I define 
dx:= diff(x, difference = 1) )and regressed next period's change to this 
period's change on the condition that this period's change is greater 
than 15.

As shown in the summary above, for dx[1:2746] > 15 true, my coefficient 
is significant (t = 3.956).

My question however is whether I interpret the result correctly.

Is it indeed implied that, if the condition of dx[1:2746] > 15 is 
fulfilled, then dx[2:2747] changes by 3.49333 the next period?
Alternatively, if this period's charge is =< 15, then there is no 
significant change (-0.04129, t=-0.360) the next period.



Thank you!

Sincerely,

Bernd Dittmann