regression using a lagged dependent variable as explanatory variable
On Sat, 15 Oct 2005, giacomo moro 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.
The reason is that lm() itself does not match time series by their time attribute (and apart from the "tsp" attribute x and lag(x, -1) are the same vector). On ?lm there is a description what you could do to create a time series and then apply lm(). As Gabor already wrote, there are two convenience interfaces available in the packages dyn and dynlm. Z
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 at 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