Time series example in Koop
I am trying to reproduce the output of a time series example in Koop's book "Analysis of Financial Data". Koop does the example in Excel and I used the ts function followed by the lm function. I am unable to get the exact coefficients that Koop gives - my coefficients are slightly different. After loading the data file and attaching the frame, my code reads:
y = ts(m.cap) x = ts(oil.price) d = ts.union(y,x,x1=lag(x,-1),x2=lag(x,-2),x3=lag(x,-3),x4=lag(x,-4)) mod1 = lm(y~x+x1+x2+x3+x4, data=d) summary(mod1)
Koop gives an intercept of 92001.51, while the code above gives 91173.32. The other coefficients are also slightly off. This is the example in Table 8.3 of Koop. I also attach a plain text version of the tab separated file "badnews.txt". http://r.789695.n4.nabble.com/file/n3427897/badnews.txt badnews.txt Any light on why I do not get Koop's coefficients is most welcome... Ravi -- View this message in context: http://r.789695.n4.nabble.com/Time-series-example-in-Koop-tp3427897p3427897.html Sent from the R help mailing list archive at Nabble.com.