[R] dynlm and lm: should they give same estimates?

[Pfaff, Bernhard Dr.]

Hello Werner,

this is easily clarified. The code in my book contains an error: please
replace the line:

error.lagged <- error[-c(99, 100)]
with
error.lagged <- error[-c(1, 100)]


I will file this in the errata section on my web-site and will correct
the relevant example in the urca and vars packages for their next
releases.


Best,
Bernhard

>
>Hi,
>
>I was wondering why the results from lm and dynlm are not the 
>same for what I think is the same model. 
>I have just modified example 4.2 from the Pfaff book, please 
>see below for the code and results.
>
>Can anyone tell my what I am doing wrongly?
>
>Many thanks,
>  Werner
>
>set.seed(123456)
>e1 <- rnorm(100)
>e2 <- rnorm(100)
>y1 <- ts(cumsum(e1))
>y2 <- ts(0.6*y1 + e2)
>lr.reg <- lm(y2 ~ y1)
>error <- ts(residuals(lr.reg))
>error.lagged <- error[-c(99, 100)]
>
>dy1 <- diff(y1)
>dy2 <- diff(y2)
>diff.dat <- data.frame(embed(cbind(dy1, dy2), 2))
>colnames(diff.dat) <- c('dy1', 'dy2', 'dy1.1', 'dy2.1')
>ecm.reg <- lm(dy2 ~ error.lagged + dy1.1 + dy2.1,
>              data=diff.dat)
>ecm.dynreg <- dynlm(d(y2) ~ L(error) + L(d(y1),1) + L(d(y2),1))
>summary(ecm.reg)
>summary(ecm.dynreg)
>
>> summary(ecm.reg)
>
>Call:
>lm(formula = dy2 ~ error.lagged + dy1.1 + dy2.1, data = diff.dat)
>
>Residuals:
>    Min      1Q  Median      3Q     Max 
>-2.9588 -0.5439  0.1370  0.7114  2.3065 
>
>Coefficients:
>              Estimate Std. Error t value Pr(>|t|)    
>(Intercept)   0.003398   0.103611   0.033    0.974    
>error.lagged -0.968796   0.158554  -6.110 2.24e-08 ***
>dy1.1         0.808633   0.112042   7.217 1.35e-10 ***
>dy2.1        -1.058913   0.108375  -9.771 5.64e-16 ***
>---
>Signif. codes:  0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1 
>
>Residual standard error: 1.026 on 94 degrees of freedom
>Multiple R-Squared: 0.5464,     Adjusted R-squared: 0.5319 
>F-statistic: 37.74 on 3 and 94 DF,  p-value: 4.243e-16 
>
>> summary(ecm.dynreg)
>
>Time series regression with "ts" data:
>Start = 3, End = 100
>
>Call:
>dynlm(formula = d(y2) ~ L(error) + L(d(y1), 1) + L(d(y2), 1))
>
>Residuals:
>    Min      1Q  Median      3Q     Max 
>-2.9588 -0.5439  0.1370  0.7114  2.3065 
>
>Coefficients:
>             Estimate Std. Error t value Pr(>|t|)    
>(Intercept)  0.003398   0.103611   0.033   0.9739    
>L(error)    -0.968796   0.158554  -6.110 2.24e-08 ***
>L(d(y1), 1)  0.245649   0.126996   1.934   0.0561 .  
>L(d(y2), 1) -0.090117   0.105938  -0.851   0.3971    
>---
>Signif. codes:  0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1 
>
>Residual standard error: 1.026 on 94 degrees of freedom
>Multiple R-Squared: 0.5464,     Adjusted R-squared: 0.5319 
>F-statistic: 37.74 on 3 and 94 DF,  p-value: 4.243e-16 
>
>> 
>
>
>
>
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