R help - Oct 2003 - Polynomial lags

Does anybody know if there is a built in fuction to use create polynomial 
distributed lags (sometimed called Almon lag) on linear models?

Thanks

Francisco

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Have you checked "www.r-project.org" -> search -> "R site
search"?  I
just got 15 hits for "polynomial lag".  If you haven't already
tried
this, I'd guess that some of these hits (though certainly not all) might 
help you. 

hope this helps.  spencer graves

Francisco Vergara wrote:
> Does anybody know if there is a built in fuction to use create 
> polynomial distributed lags (sometimed called Almon lag) on linear 
> models?
>
> Thanks
>
> Francisco
>
> _________________________________________________________________
>
> ______________________________________________
> R-help at stat.math.ethz.ch mailing list
> https://www.stat.math.ethz.ch/mailman/listinfo/r-help

Thanks to Thomas, Roger and Spencer on your reply!

I am trying to replicate/validate the results from the "black box" 
Econometrics software Eviews, compared to R and EViews uses the Almon 
approach.  I will try the code kindly offered by Thomas.
I would be interested in the way to apply the B-spline expansion in lm()

Thanks!

Francisco

>From: Roger Koenker <roger at ysidro.econ.uiuc.edu>
>To: Thomas Lumley <tlumley at u.washington.edu>
>CC: r-help <r-help at stat.math.ethz.ch>
>Subject: Re: [R] Polynomial lags
>Date: Tue, 21 Oct 2003 09:57:10 -0500 (CDT)
>
>For what it is worth, I would have thought that expressing
>the lag coefficients in a B-spline expansion would be preferable
>to going back to Almon approach. This would give a relatively
>simple lm() application.
>
>
>url:	www.econ.uiuc.edu/~roger/my.html	Roger Koenker
>email	rkoenker at uiuc.edu			Department of Economics
>vox: 	217-333-4558				University of Illinois
>fax:   	217-244-6678				Champaign, IL 61820
>
>On Tue, 21 Oct 2003, Thomas Lumley wrote:
>
> > On Tue, 21 Oct 2003, Spencer Graves wrote:
> >
> > > Have you checked "www.r-project.org" -> search ->
"R site search"?  I
> > > just got 15 hits for "polynomial lag".  If you
haven't already tried
> > > this, I'd guess that some of these hits (though certainly not
all)
>might
> > > help you.
> > >
> >
> > Only one of these is about polynomial distributed lag models, and
it's
>an
> > apparently unsuccessful request for information.
> >
> > I have code
> > 	http://faculty.washington.edu/tlumley/pdl.R
> > and documentation
> > 	http://faculty.washington.edu/tlumley/pdlglm.html
> > for a version for generalised linear models.
> >
> > Note that I have not used this for some years, so it may run into 
>problems
> > with changes in R.  Also note that it is just a generalised linear
model
> > -- it doesn't do anything about residual autocorrelation (which
isn't a
> > problem in the application I was working on).
> >
> >
> > 	-thomas
> >
> > ______________________________________________
> > R-help at stat.math.ethz.ch mailing list
> > https://www.stat.math.ethz.ch/mailman/listinfo/r-help
> >
>
>______________________________________________
>R-help at stat.math.ethz.ch mailing list
>https://www.stat.math.ethz.ch/mailman/listinfo/r-help
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