[R] How to use R to estimate a model which has two sets of lagged time series independent variables
Gabor Grothendieck
ggrothendieck at gmail.com
Thu Dec 13 15:41:55 CET 2007
If you don't need a complex error structure then the dyn package
(and also the dynlm package) can do it. Using R's builtin
EuStockMarkets time series:
library(dyn)
z <- as.zoo(EuStockMarkets)
mod1 <- dyn$lm(DAX ~ lag(DAX, -(1:2)) + lag(FTSE, -(0:2)), z)
mod1
# compare to model without FTSE
mod2 <- dyn$lm(DAX ~ lag(DAX, -(1:2)), z)
anova(mod2, mod1)
On Dec 13, 2007 8:59 AM, Suen, Michael <Michael.Suen at inginvestment.com> wrote:
> Hi,
>
> I would like to use R to estimate the following model:
>
> X(t) = a + b1*X(t-1) + b2*X(t-2) + c1*Y(t) + c2*Y(t-1) + c3*Y(t-2)
>
> Is there any R function that performs this type of estimation? I know
> that if I only have one time series (i.e. lagged value of X) on the
> right hand side then there are R functions to do the estimation. I am
> thinking a work around by preparing X(t-1), X(t-2),Y(t),Y(t-1) and
> Y(t-2) as five independent variables and use the lm() function to
> performance the estimation. Please advise. Thanks.
>
> Michael
>
> This e-mail message including any attachments may be legally privileged and confidential under applicable law,
> and is meant only for the intended recipient(s). If you received this message in error, please reply to the sender,
> adding "SENT IN ERROR" to the subject line, then delete this message.
> Thank you.
>
> [[alternative HTML version deleted]]
>
> ______________________________________________
> R-help at r-project.org mailing list
> https://stat.ethz.ch/mailman/listinfo/r-help
> PLEASE do read the posting guide http://www.R-project.org/posting-guide.html
> and provide commented, minimal, self-contained, reproducible code.
>
More information about the R-help
mailing list