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dstreg
2008 Oct 15
2
dynlm and lm: should they give same estimates?
...agged <- error[-c(99, 100)]
dy1 <- diff(y1)
dy2 <- diff(y2)
diff.dat <- data.frame(embed(cbind(dy1, dy2), 2))
colnames(diff.dat) <- c('dy1', 'dy2', 'dy1.1', 'dy2.1')
ecm.reg <- lm(dy2 ~ error.lagged + dy1.1 + dy2.1,
data=diff.dat)
ecm.dynreg <- dynlm(d(y2) ~ L(error) + L(d(y1),1) + L(d(y2),1))
summary(ecm.reg)
summary(ecm.dynreg)
> summary(ecm.reg)
Call:
lm(formula = dy2 ~ error.lagged + dy1.1 + dy2.1, data = diff.dat)
Residuals:
Min 1Q Median 3Q Max
-2.9588 -0.5439 0.1370 0.7114 2.3065
Coefficients:...