[R] Polynomial lags

[Francisco Vergara]

Thanks to Thomas, Roger and Spencer on your reply!

I am trying to replicate/validate the results from the "black box" 
Econometrics software Eviews, compared to R and EViews uses the Almon 
approach.  I will try the code kindly offered by Thomas.
I would be interested in the way to apply the B-spline expansion in lm()

Thanks!

Francisco


>From: Roger Koenker <roger at ysidro.econ.uiuc.edu>
>To: Thomas Lumley <tlumley at u.washington.edu>
>CC: r-help <r-help at stat.math.ethz.ch>
>Subject: Re: [R] Polynomial lags
>Date: Tue, 21 Oct 2003 09:57:10 -0500 (CDT)
>
>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
> >
> > ______________________________________________
> > R-help at stat.math.ethz.ch mailing list
> > https://www.stat.math.ethz.ch/mailman/listinfo/r-help
> >
>
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