Hello all,
Does anyone know how to constrain/force specific coefficients when running
lm()?
I need to run recresid() {strucchange package} on the residuals of
forecast.lm, but forecast.lm's coefficients must be determined by
parameter.estimation.lm
I could estimate forecast.lm without lm() and use some other kind of
optimisation, but recresid() requires an object with class lm. recresid()
allows you to specify a formula, rather than an lm object, but it looks like
coefficients are estimated this way too and can't be forced.
Here is a bit of code to compensate for my poor explanation:.
# Estimate the coefficients of model
parameter.estimation.lm = lm(formula = y ~ x1 + x2, data =
estimation.dataset)
# How do I force the coefficients in forecast.lm to the coeff estimation
from parameter.estimation.lm??
forecast.lm = lm(formula = y ~ x1 + x2, data = forecast.dataset)
# Because I need recursive residuals from the application of the
coefficients from parameter.estimation.lm to a different dataset
recresid(forecast.lm)
Thanks in advance guys,
R.
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