[R] simultaneous estimation

[Gabor Grothendieck]

On Tue, Aug 31, 2010 at 6:58 AM,  <Murali.Menon at avivainvestors.com> wrote:
> Hi folks,
>
> Not sure what this sort of estimation is called. I have a 2-column time-series x(i,t) [with (i=1,2; t=1,...T)], and I want to do the following 'simultaneous' regressions:
>
> x(1,t) = (d - 1)(x(1, t-1) - mu(1))
> x(2,t) = (d - 1)(x(2, t-1) - mu(2))
>
> And I want to determine the coefficients d, mu(1), mu(2).
>
> Note that the d should be the same for both estimations, whereas the coefficients mu will have two values mu(1), mu(2), one for each estimation.
>
> Is this possible to do in R?
>
> What would be the corresponding syntax in, say, lm?
>

Assuming appropriate error structure, try lm(x ~ xlag + f - 1) where x
is a vector of all the data strung out except for the first time point
and xlag is the corresponding lagged vector and f is a factor such
that f[i] indicates which column x[i] came from.


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