On 04/10/2008 3:29 PM, Werner Wernersen wrote:
Hi,
I would like to estimate an error correction model with lm() but I don't find
the correct syntax for that.
The model (leaving out the time indices) looks like:
dY = a0 - a1 * (Y - b1*X) + b0*dX + e
the problem is the term - a1 * (Y - b1*X). How can I restrict a1 to be the same
for both Y and -b1*X ?
lm() fits linear models, and that's not parametrized as a linear model.
It is equivalent to this linear model:
dY = a0 + a1 * Y + a2 * X + b0 * dX + e
where I have changed the sign of a1, and replaced a1*b1 with a2. You
can specify that model in lm() as
dY ~ Y + X + dX
Duncan Murdoch
Thanks for considering my question!
All the best,
Werner
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