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

[Achim Zeileis]

On Sat, 15 Oct 2005, giacomo moro 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.

The reason is that lm() itself does not match time series by their time
attribute (and apart from the "tsp" attribute x and lag(x, -1) are the
same vector). On ?lm there is a description what you could do to create a
time series and then apply lm().
As Gabor already wrote, there are two convenience interfaces available in
the packages dyn and dynlm.
Z

> 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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