[R] mean reverting model
rechtsteiner at bgki.net
Mon Mar 9 18:36:55 CET 2009
i'm working with a mean reverting model of the following specification:
y = mu + beta(x - mu) + errorterm, where mu is a constant
currently I estimate just y = x (with lm()) to get beta and then
calculate mu = estimated intercept / (1-beta).
but I'd like to estimate mu and beta together in one regression-step
and also get the test-statistics (including parameter variance) for mu
as well as for beta in the summary of the regression.
could you please help me?
thanks very much in advance!
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