hi andrew,
the problem is that I don't know what kind of model this exactly is...
I only know that I have to do it this way and how the model is
structured.
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.
______________________________________________
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.
