[R] mean reverting model

Josuah Rechtsteiner
2009-03-09T17:36:55Z

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