Create time series from your data and then use lm with the dyn or dynlm package (as lm does not support time series directly). With the dyn package you just preface lm with dyn$ and then use lm as usual:
library(dyn) yt <- ts(y) xt <- ts(x) dyn$lm(yt ~ xt + lag(yt, -1)) After loading dyn try this for more info: package?dyn On 10/15/05, giacomo moro <[EMAIL PROTECTED]> wrote: > Hi, > I would like to regress y (dependent variable) on x (independent variable) > and y(-1). > I have create the y(-1) variable in this way: ly<-lag(y, -1) > Now if I do the following regression lm (y ~ x + ly) the results I obtain > are not correct. > Can someone tell me the code to use in R in order to perform a regression > using as explanatory variable a lagged dependent variable? > My best regards, > Giacomo > > > --------------------------------- > > [[alternative HTML version deleted]] > > ______________________________________________ > R-help@stat.math.ethz.ch mailing list > https://stat.ethz.ch/mailman/listinfo/r-help > PLEASE do read the posting guide! http://www.R-project.org/posting-guide.html > ______________________________________________ R-help@stat.math.ethz.ch mailing list https://stat.ethz.ch/mailman/listinfo/r-help PLEASE do read the posting guide! http://www.R-project.org/posting-guide.html
