[R] syntax to restrict coefficient in lm()
murdoch at stats.uwo.ca
Sat Oct 4 22:06:22 CEST 2008
On 04/10/2008 3:29 PM, Werner Wernersen wrote:
> I would like to estimate an error correction model with lm() but I don't find the correct syntax for that.
> The model (leaving out the time indices) looks like:
> dY = a0 - a1 * (Y - b1*X) + b0*dX + e
> the problem is the term - a1 * (Y - b1*X). How can I restrict a1 to be the same for both Y and -b1*X ?
lm() fits linear models, and that's not parametrized as a linear model.
It is equivalent to this linear model:
dY = a0 + a1 * Y + a2 * X + b0 * dX + e
where I have changed the sign of a1, and replaced a1*b1 with a2. You
can specify that model in lm() as
dY ~ Y + X + dX
> Thanks for considering my question!
> All the best,
> R-help at r-project.org mailing list
> PLEASE do read the posting guide http://www.R-project.org/posting-guide.html
> and provide commented, minimal, self-contained, reproducible code.
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