Mean reverting model = autoregression? If so, then search for ?ar
or ?arima to fit a time series. On Mar 10, 4:36 am, Josuah Rechtsteiner <rechtstei...@bgki.net> wrote: > dear useRs, > > i'm working with a mean reverting model of the following specification: > > y = mu + beta(x - mu) + errorterm, where mu is a constant > > currently I estimate just y = x (with lm()) to get beta and then > calculate mu = estimated intercept / (1-beta). > > but I'd like to estimate mu and beta together in one regression-step > and also get the test-statistics (including parameter variance) for mu > as well as for beta in the summary of the regression. > > could you please help me? > > thanks very much in advance! > > josuah > > ______________________________________________ > r-h...@r-project.org mailing listhttps://stat.ethz.ch/mailman/listinfo/r-help > PLEASE do read the posting guidehttp://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.
