Displaying 2 results from an estimated 2 matches for "koyck".
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kock
2013 Apr 01
1
Parameter Estimation in R with Sums and Lagged Variables
Hi guys,
I am afraid I am stuck with an estimation problem.
I have two variables, X and Y. Y is explained by the weighted sum of n
lagged values of X. My aim is to estimate the two parameters
c(alpha0,alpha1) in:
Yt = Sum from j=1 to n of ( ( alpha0 + alpha1 * j ) * Xt-j )
Where Xt-j denotes the jth lag of X.
I came up with this approach because I thought it would be a good idea to
estimate
2011 Nov 30
2
forecasting linear regression from lagged variable
I'm currently working with some time series data with the xts package, and
would like to generate a forecast 12 periods into the future. There are
limited observations, so I am unable to use an ARIMA model for the forecast.
Here's the regression setup, after converting everything from zoo objects to
vectors.
hire.total.lag1 <- lag(hire.total, lag=-1, na.pad=TRUE)
lm.model <-