[R] How to use R to estimate a model which has two sets of laggedtime series independent variables

Pfaff, Bernhard Dr. Bernhard_Pfaff at fra.invesco.com
Thu Dec 13 15:44:23 CET 2007

>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.

Hello Michael,

you can use the function dynlm() contained in the CRAN-package with the
same name, or you can use the function VAR() contained in the package
vars. Here, you would only need the lm-object belonging to X_T as


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