R help - Dec 2007 - How to use R to estimate a model which has two sets of lagged time series independent variables

Hi,

I would like to use R to estimate the following model:

X(t) = a + b1*X(t-1) + b2*X(t-2) + c1*Y(t) + c2*Y(t-1) + c3*Y(t-2)

Is there any R function that performs this type of estimation? I know
that if I only have one time series (i.e. lagged value of X) on the
right hand side then there are R functions to do the estimation. I am
thinking a work around by preparing X(t-1), X(t-2),Y(t),Y(t-1) and
Y(t-2) as five independent variables and use the lm() function to
performance the estimation. Please advise. Thanks.

Michael

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If you don't need a complex error structure then the dyn package
(and also the dynlm package) can do it. Using R's builtin
EuStockMarkets time series:

library(dyn)

z <- as.zoo(EuStockMarkets)
mod1 <- dyn$lm(DAX ~ lag(DAX, -(1:2)) + lag(FTSE, -(0:2)), z)
mod1

# compare to model without FTSE
mod2 <- dyn$lm(DAX ~ lag(DAX, -(1:2)), z)
anova(mod2, mod1)

On Dec 13, 2007 8:59 AM, Suen, Michael <Michael.Suen at inginvestment.com>
wrote:
> Hi,
>
> I would like to use R to estimate the following model:
>
> X(t) = a + b1*X(t-1) + b2*X(t-2) + c1*Y(t) + c2*Y(t-1) + c3*Y(t-2)
>
> Is there any R function that performs this type of estimation? I know
> that if I only have one time series (i.e. lagged value of X) on the
> right hand side then there are R functions to do the estimation. I am
> thinking a work around by preparing X(t-1), X(t-2),Y(t),Y(t-1) and
> Y(t-2) as five independent variables and use the lm() function to
> performance the estimation. Please advise. Thanks.
>
> Michael
>
> This e-mail message including any attachments may be legally privileged and
confidential under applicable law,
> and is meant only for the intended recipient(s).  If you received this
message in error, please reply to the sender,
> adding "SENT IN ERROR" to the subject line, then delete this
message.
> Thank you.
>
>        [[alternative HTML version deleted]]
>
> ______________________________________________
> R-help at 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.
>

>Hi,
>
>I would like to use R to estimate the following model:
>
>X(t) = a + b1*X(t-1) + b2*X(t-2) + c1*Y(t) + c2*Y(t-1) + c3*Y(t-2)
>
>Is there any R function that performs this type of estimation? I know
>that if I only have one time series (i.e. lagged value of X) on the
>right hand side then there are R functions to do the estimation. I am
>thinking a work around by preparing X(t-1), X(t-2),Y(t),Y(t-1) and
>Y(t-2) as five independent variables and use the lm() function to
>performance the estimation. Please advise. Thanks.
>
>Michael
>
Hello Michael,

you can use the function dynlm() contained in the CRAN-package with the
same name, or you can use the function VAR() contained in the package
vars. Here, you would only need the lm-object belonging to X_T as
lhs-variable.

Best,
Bernhard


>This e-mail message including any attachments may be legally 
>privileged and confidential under applicable law, 
>and is meant only for the intended recipient(s).  If you 
>received this message in error, please reply to the sender, 
>adding "SENT IN ERROR" to the subject line, then delete this
message.
>Thank you.
>
>	[[alternative HTML version deleted]]
>
>______________________________________________
>R-help at 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.
>
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