Displaying 1 result from an estimated 1 matches for "cash_lag1".
2011 Aug 02
1
Writing multiple regression in one function
...ersion of VAR(p) I am working on.
Would someone be able to tell me if there is a more elegant way of writing A function for the following? Many thanks in advance. Darius
I am regressing returns of 8 asset classes on lagged values of 4 state variables and so I have 8 equations like the following:
cash_lag1= dynlm (cal_cash ~ lag(cal_ism,-1) +lag(cal_per,-1) +lag(cal_spread,-1) +lag(cal_unemp,-1))
Is there a way to write pack the 8 regressions in one function? I have already tried ts.union to join the 8 returns into one vector and also as a data frame but I get error messages.
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