[R-SIG-Finance] regression problem

Josuah Rechtsteiner rechtsteiner at bgki.net
Mon Mar 9 19:47:40 CET 2009

dear useRs,

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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