Hi useRs,
I have been running a regression of the following kind:
> summary(lm(dx[2:2747] ~ 0 + (dx[1:2746]>15)))
Call:
lm(formula = dx[2:2747] ~ 0 + (dx[1:2746] > 15))
Residuals:
Min 1Q Median 3Q Max
-46.35871 -3.15871 0.04129 3.04129 30.04129
Coefficients:
Estimate Std. Error t value Pr(>|t|)
dx[1:2746] > 15FALSE -0.04129 0.11467 -0.360 0.719
dx[1:2746] > 15TRUE 3.49333 0.88309 3.956 7.82e-05 ***
---
Signif. codes: 0 '***' 0.001 '**' 0.01 '*' 0.05
'.' 0.1 ' ' 1
Residual standard error: 5.924 on 2712 degrees of freedom
Multiple R-Squared: 0.005784, Adjusted R-squared: 0.005051
F-statistic: 7.889 on 2 and 2712 DF, p-value: 0.0003835
In this model, I have lagged the differences series dx (whereby I define
dx:= diff(x, difference = 1) )and regressed next period's change to this
period's change on the condition that this period's change is greater
than 15.
As shown in the summary above, for dx[1:2746] > 15 true, my coefficient
is significant (t = 3.956).
My question however is whether I interpret the result correctly.
Is it indeed implied that, if the condition of dx[1:2746] > 15 is
fulfilled, then dx[2:2747] changes by 3.49333 the next period?
Alternatively, if this period's charge is =< 15, then there is no
significant change (-0.04129, t=-0.360) the next period.
Thank you!
Sincerely,
Bernd Dittmann
