[R] simultaneous estimation

[Murali.Menon at avivainvestors.com]

Hi folks,

Not sure what this sort of estimation is called. I have a 2-column time-series x(i,t) [with (i=1,2; t=1,...T)], and I want to do the following 'simultaneous' regressions:

x(1,t) = (d - 1)(x(1, t-1) - mu(1))
x(2,t) = (d - 1)(x(2, t-1) - mu(2))

And I want to determine the coefficients d, mu(1), mu(2). 

Note that the d should be the same for both estimations, whereas the coefficients mu will have two values mu(1), mu(2), one for each estimation.

Is this possible to do in R?

What would be the corresponding syntax in, say, lm?

Thanks,

Murali