Have you looked at the 'sspir' package? A good introduction to
the package can be found in C. Dethlefsen and S. Lundbye-Christensen
(2006) "Formulating state space models in r with focus on longitudinal
regression models", Journal of Statistical Software, 16(1)
[http://www.jstatsoft.org/v16/i01]
Hope this helps.
Spencer Graves
arun kirshna wrote:
> Hi Rers,
>
> I have a poission time series model with 5 parameters. I just wanted to
> remove two of the lag on response in the model and put it as a system model.
> I am not sure about the codes to combine these two on R. If anybody has
> any R example (code), please post it.
>
> My original model:
> log(Y(t))~constant+b1*Y(t-1)+b2*Y(t-2)+b3*(variable1)+b4*(variable2)+e
> I would like to construct a model:
> log(Y(t))~constant+b1*(variable1)+b2*(variable2)+X(t)
>
> X(t)~phi1*Xt-1+phi2*Xt-2+error
>
> where X(t) is the autoregressive lag effect of response.
>
> A.K.
>
>
>
>
>
> ---------------------------------
>
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>
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