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t_union
2004 Jan 23
1
lags in regressions
Hi!
I am trying to get R to run regressions for me of a variable on lagged
differences of itself.
Specifically:
x-x(-1) = a + b1(x(-1)-rx(-2))+b2(x(-4)-rx(-5))+e
I need to do this a lot of times, altering the value of r.
What I've been trying to do was to use the lag() command to create
lagged versions of these variables and then constructing these
differences by hand (i.e. creating