Message-ID: <AEB16B1613D44C4793A7E6B6986B7A12F536E024@EX10-LIVE-MBN2.ad.kent.ac.uk>
Date: 2015-04-24T19:17:47Z
From: T.Riedle
Subject: obtaining the sum of lagged variables
Hi everybody,
I am trying to replicate the formula shown in the attachment. I want to estimate tau using a macroeconomic variable X at month t using k lags of the variable X.
My code so far looks as follows:
psi <- fn(...)
k <- 1:K
ltau <- m + theta*sum(psi*X[t-k])
Unfortunately, if I run the code as shown the result I get is NA but I want to obtain a list of ltaus at month t.
ltau <- m + theta*sum(psi*X[t-k])
> ltau
[1] NA
Hence I defined t and ran X[t-k] and get following results. That is, X[t-k] provides every third element in my data table three times instead of calculating the sum of the lagged observations multiplied with psi
t<-1:15
> t
[1] 1 2 3 4 5 6 7 8 9 10 11 12 13 14 15
> X[t-k]
[1] -0.25 -0.25 -0.25 0.50 0.50 0.50 -0.44 -0.44 -0.44 0.15 0.15 0.15
How do I get the list of taus at month t based on the sum of lagged observations as shown in the attachment?
Thanks in advance
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