[R] syntax to restrict coefficient in lm()
ggrothendieck at gmail.com
Sun Oct 5 04:53:01 CEST 2008
Frankly, I would do it Duncan's way as that represents it simply as
a linear model but if you insist you could use nls.
nls(dY ~ a0 - a1 * (Y - b1*X) + b0*dX, DF, start = whatever)
On Sat, Oct 4, 2008 at 4:06 PM, Duncan Murdoch <murdoch at stats.uwo.ca> wrote:
> On 04/10/2008 3:29 PM, Werner Wernersen wrote:
>> 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 ?
> lm() fits linear models, and that's not parametrized as a linear model. It
> is equivalent to this linear model:
> dY = a0 + a1 * Y + a2 * X + b0 * dX + e
> where I have changed the sign of a1, and replaced a1*b1 with a2. You can
> specify that model in lm() as
> dY ~ Y + X + dX
> Duncan Murdoch
>> Thanks for considering my question!
>> All the best,
>> R-help at r-project.org mailing list
>> PLEASE do read the posting guide
>> and provide commented, minimal, self-contained, reproducible code.
> R-help at r-project.org mailing list
> PLEASE do read the posting guide http://www.R-project.org/posting-guide.html
> and provide commented, minimal, self-contained, reproducible code.
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