[R] regression using a lagged dependent variable as explanatory variable

Gabor Grothendieck ggrothendieck at gmail.com
Sat Oct 15 17:50:01 CEST 2005

Create time series from your data and then use lm with
the dyn or dynlm package (as lm does not support time
series directly).  With the dyn package you just preface
lm with dyn$ and then use lm as usual:

yt <- ts(y)
xt <- ts(x)
dyn$lm(yt ~ xt + lag(yt, -1))

After loading dyn try this for more info:


On 10/15/05, giacomo moro <gmbegnis at yahoo.it> wrote:
> Hi,
> I would like to regress y (dependent variable) on x (independent variable) and y(-1).
> I have create the y(-1) variable in this way:  ly<-lag(y, -1)
> Now if I do the following regression  lm (y ~ x + ly) the results I obtain are not correct.
> Can someone tell me the code to use in R in order to perform a regression using as explanatory variable a lagged dependent variable?
> My best regards,
>                    Giacomo
> ---------------------------------
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