Message-ID: <x2add5bf2c.fsf@biostat.ku.dk>
Date: 2003-05-29T21:40:29Z
From: Peter Dalgaard
Subject: Newbie trying to Lag Variables in a regression
In-Reply-To: <NDEKIJPPGJCIKBNEDOKOMEDPCCAA.rwatkins@cornerstonelp.com>
<rwatkins at cornerstonelp.com> writes:
> Perhaps I am making this too hard, but how does one regress y(t) on a
> constant, x(t-1) and y(t-1)? I've tried the manuals and until I get
> Dalgaard's book (just ordered on Amazon), I am stuck!
Not sure the book will unstick you...
However, the simple way is to create a new variable which shifts the
response, i.e.
yshft <- c(y[-1], NA) # pad with missing
summary(lm(yshft ~ x + y))
Alternatively, lag the regressors:
N <- length(x)
xlag <- c(NA, x[1:(N-1)])
ylag <- c(NA, y[1:(N-1)])
summary(lm(y ~ xlag + ylag))
--
O__ ---- Peter Dalgaard Blegdamsvej 3
c/ /'_ --- Dept. of Biostatistics 2200 Cph. N
(*) \(*) -- University of Copenhagen Denmark Ph: (+45) 35327918
~~~~~~~~~~ - (p.dalgaard at biostat.ku.dk) FAX: (+45) 35327907