Dear useRs,
I've release a new version of the "dynlm" package to CRAN which
adds two
new features:
o instrumental variables regression (two-stage least squares) via
formulas like
dynlm(y ~ x1 + x2 | z1 + z2 + z3, data = mydata)
where z1, z2, z3 are the instruments which can again contain
lags/differences/season via the d()/L()/season() operators.
o specification of multiple lags via formulas like
dynlm(y ~ L(x, 0:4), data = mydata)
where y is regressed on x and lags 1 through 4 of x.
Furthermore, I've enhanced some convenience funcitonality such as printing
and fixed a bug in the time alignment when there were leading NAs in the
underlying data.
Z
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