If you don't need a complex error structure then the dyn package (and also the dynlm package) can do it. Using R's builtin EuStockMarkets time series:
library(dyn) z <- as.zoo(EuStockMarkets) mod1 <- dyn$lm(DAX ~ lag(DAX, -(1:2)) + lag(FTSE, -(0:2)), z) mod1 # compare to model without FTSE mod2 <- dyn$lm(DAX ~ lag(DAX, -(1:2)), z) anova(mod2, mod1) On Dec 13, 2007 8:59 AM, Suen, Michael <[EMAIL PROTECTED]> wrote: > Hi, > > I would like to use R to estimate the following model: > > X(t) = a + b1*X(t-1) + b2*X(t-2) + c1*Y(t) + c2*Y(t-1) + c3*Y(t-2) > > Is there any R function that performs this type of estimation? I know > that if I only have one time series (i.e. lagged value of X) on the > right hand side then there are R functions to do the estimation. I am > thinking a work around by preparing X(t-1), X(t-2),Y(t),Y(t-1) and > Y(t-2) as five independent variables and use the lm() function to > performance the estimation. Please advise. Thanks. > > Michael > > This e-mail message including any attachments may be legally privileged and > confidential under applicable law, > and is meant only for the intended recipient(s). If you received this > message in error, please reply to the sender, > adding "SENT IN ERROR" to the subject line, then delete this message. > Thank you. > > [[alternative HTML version deleted]] > > ______________________________________________ > [email protected] mailing list > https://stat.ethz.ch/mailman/listinfo/r-help > PLEASE do read the posting guide http://www.R-project.org/posting-guide.html > and provide commented, minimal, self-contained, reproducible code. > ______________________________________________ [email protected] mailing list https://stat.ethz.ch/mailman/listinfo/r-help PLEASE do read the posting guide http://www.R-project.org/posting-guide.html and provide commented, minimal, self-contained, reproducible code.
