[R] Introducing lags in my GAM

[Simon Wood]

I think that the problem is probably that y and lag(y,k=1) just get coerced 
back to numeric (i.e. their time-series attributes ar lost). So your model 
formula is equivalent to y~.... + y, which is probably not what you wanted. 

If y is in time order, I would do something like

  bellver$y.1 <- c(NA,bellver$y[1:(nrow(bellver)-1)])

and then use y.1 as the covariate in place of lag(y,k=1). (do check this is 
lagging in the right direction for you)


On Tuesday 05 October 2010 14:09, Oscar Saenz de Miera wrote:
> To whom it may concern,
>
> This is Oscar Saenz. I am working on my thesis and wanted to ask for your
> help.
>
> I am using "R" to estimate a Generalized Additive Model where the
> concentration of a specific pollutant is explained by a series of
> variables. I need to introduce a lag of the regressand in my equation.
>
> I tried to do so by estimating:
>
> eq1 <- gam(y~s(time,bs="cr")+s(x1,bs="cr")+s(x2,bs="cr")+s(x3,bs="cr")+
>     D1+D2+D3+D4+D5+D6+lag(y, k = 1),data=bellver,family=gaussian)
>
> where (D1,...,D7 are day-of-the-week dummies; x1, x2 and x3 are
> weather related variables; time is a trend; and lag(y, k = 1) was supposed
> to be the lag of the dependent variable)
>
> but this did not work.
>
> So, HOW CAN I INTRODUCE THE LAG IN MY GAM ESTIMATIONS?
>
> Thank you very much. Your help will be very valuable.
>
> Receive my best regards,
>
> Oscar
>
>
>
>
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-- 
> Simon Wood, Mathematical Sciences, University of Bath, Bath, BA2 7AY UK
> +44 1225 386603  www.maths.bath.ac.uk/~sw283