[R] syntax to restrict coefficient in lm()

Werner Wernersen pensterfuzzer at yahoo.de
Sat Oct 4 21:29:17 CEST 2008


I would like to estimate an error correction model with lm() but I don't find the correct syntax for that.
The model (leaving out the time indices) looks like:

dY = a0 - a1 * (Y - b1*X) + b0*dX + e

the problem is the term - a1 * (Y - b1*X). How can I restrict a1 to be the same for both Y and -b1*X ?

Thanks for considering my question!

All the best,

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