Frankly, I would do it Duncan's way as that represents it simply as a linear model but if you insist you could use nls.
nls(dY ~ a0 - a1 * (Y - b1*X) + b0*dX, DF, start = whatever) On Sat, Oct 4, 2008 at 4:06 PM, Duncan Murdoch <[EMAIL PROTECTED]> wrote: > 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.
