Werner: what you want done is more easily done using a time series framework. I think there are examples for doing what you want to in the urca package or , if not there, then in the associated book of Bernhard Pfaff. If you send your question to R-Sig-Finance , that may illicit other ideas besides Duncan's and mine.
-----Original Message----- From: [EMAIL PROTECTED] [mailto:[EMAIL PROTECTED] On Behalf Of Duncan Murdoch Sent: Saturday, October 04, 2008 4:06 PM To: Werner Wernersen Cc: [EMAIL PROTECTED] Subject: Re: [R] syntax to restrict coefficient in lm() 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 > > > > > > ______________________________________________ > R-help@r-project.org 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. ______________________________________________ R-help@r-project.org 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. ______________________________________________ R-help@r-project.org 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.
