[R] mean reverting model

[Josuah Rechtsteiner]

hi andrew,

the problem is that I don't know what kind of model this exactly is...
I only know that I have to do it this way and how the model is  
structured.

> Mean reverting model = autoregression?  If so, then search for
>
> ?ar
>
> or
>
> ?arima
>
> to fit a time series.
>
> On Mar 10, 4:36 am, Josuah Rechtsteiner <rechtstei... at bgki.net> wrote:
>> dear useRs,
>>
>> i'm working with a mean reverting model of the following  
>> specification:
>>
>> y = mu + beta(x - mu) + errorterm, where mu is a constant
>>
>> currently I estimate just y = x (with lm()) to get beta and then
>> calculate mu = estimated intercept / (1-beta).
>>
>> but I'd like to estimate mu and beta together in one regression-step
>> and also get the test-statistics (including parameter variance) for  
>> mu
>> as well as for beta in the summary of the regression.
>>
>> could you please help me?
>>
>> thanks very much in advance!
>>
>> josuah
>>
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>
> ______________________________________________
> R-help at r-project.org mailing list
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> PLEASE do read the posting guide http://www.R-project.org/posting-guide.html
> and provide commented, minimal, self-contained, reproducible code.