Newbie trying to Lag Variables in a regression

<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