[R] dynamic regression

[Achim Zeileis]

On Fri, 30 Jul 2004 08:13:05 -0700 (PDT) bob mccall wrote:

> Greetings:
>  
> Is there an simple way to do dynamic regressions in R? 
> >From what I've seen, one must use arima() and construct the X matrix
> >with lagged values etc. and modify Y as well.

If you want OLS regression with lagged regressors you could also
transform your data using lag() and window() and then use lm().
E.g. for a multiplicative SARIMA(1,0,0)(1,0,0) model for the seatbelt
data you could do something like:

data(UKDriverDeaths)
seatbelt <- log10(UKDriverDeaths)
seatbelt <- cbind(seatbelt, lag(seatbelt, k = -1), 
  lag(seatbelt, k = -12))
colnames(seatbelt) <- c("y", "ylag1", "ylag12")
seatbelt <- window(seatbelt, start = c(1970, 1), end = c(1984, 12))

lm(y ~ ylag1 + ylag12, data = seatbelt)

hth,
Z


> Thanks,
>  
> Bob
> 
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