>Hi, > >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. > >Michael >
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 lhs-variable. Best, Bernhard >This e-mail message including any attachments may be legally >privileged and confidential under applicable law, >and is meant only for the intended recipient(s). If you >received this message in error, please reply to the sender, >adding "SENT IN ERROR" to the subject line, then delete this message. >Thank you. > > [[alternative HTML version deleted]] > >______________________________________________ >R-help@r-project.org mailing list >https://stat.ethz.ch/mailman/listinfo/r-help >PLEASE do read the posting guide >http://www.R-project.org/posting-guide.html >and provide commented, minimal, self-contained, reproducible code. > ***************************************************************** Confidentiality Note: The information contained in this ...{{dropped:10}} ______________________________________________ R-help@r-project.org mailing list https://stat.ethz.ch/mailman/listinfo/r-help PLEASE do read the posting guide http://www.R-project.org/posting-guide.html and provide commented, minimal, self-contained, reproducible code.
