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 > ______________________________________________ R-help@r-project.org mailing list https://stat.ethz.ch/mailman/listinfo/r-help PLEASE do read the posting guide http://www.R-project.org/posting-guide.html and provide commented, minimal, self-contained, reproducible code.