[R] Polynomial lags

[Roger Koenker]

For what it is worth, I would have thought that expressing
the lag coefficients in a B-spline expansion would be preferable
to going back to Almon approach. This would give a relatively
simple lm() application.


url:	www.econ.uiuc.edu/~roger/my.html	Roger Koenker
email	rkoenker at uiuc.edu			Department of Economics
vox: 	217-333-4558				University of Illinois
fax:   	217-244-6678				Champaign, IL 61820

On Tue, 21 Oct 2003, Thomas Lumley wrote:

> On Tue, 21 Oct 2003, Spencer Graves wrote:
>
> > Have you checked "www.r-project.org" -> search -> "R site search"?  I
> > just got 15 hits for "polynomial lag".  If you haven't already tried
> > this, I'd guess that some of these hits (though certainly not all) might
> > help you.
> >
>
> Only one of these is about polynomial distributed lag models, and it's an
> apparently unsuccessful request for information.
>
> I have code
> 	http://faculty.washington.edu/tlumley/pdl.R
> and documentation
> 	http://faculty.washington.edu/tlumley/pdlglm.html
> for a version for generalised linear models.
>
> Note that I have not used this for some years, so it may run into problems
> with changes in R.  Also note that it is just a generalised linear model
> -- it doesn't do anything about residual autocorrelation (which isn't a
> problem in the application I was working on).
>
>
> 	-thomas
>
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