[R] syntax to restrict coefficient in lm()

[Mark Leeds]

Werner: what you want done is more easily done using a time series
framework. I think there are examples for doing what you want to in the urca
package or , if not there, then in the associated book of Bernhard Pfaff.
If you send your question to R-Sig-Finance , that may illicit other ideas
besides Duncan's and mine.


-----Original Message-----
From: r-help-bounces at r-project.org [mailto:r-help-bounces at r-project.org] On
Behalf Of Duncan Murdoch
Sent: Saturday, October 04, 2008 4:06 PM
To: Werner Wernersen
Cc: r-help at stat.math.ethz.ch
Subject: Re: [R] syntax to restrict coefficient in lm()

On 04/10/2008 3:29 PM, Werner Wernersen wrote:
> Hi,
> 
> 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

Duncan Murdoch

> 
> Thanks for considering my question!
> 
> All the best,
>   Werner
> 
> 
> 
> 
> 
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