Hi,
I would like to use R to estimate the following model:
X(t) = a + b1*X(t-1) + b2*X(t-2) + c1*Y(t) + c2*Y(t-1) + c3*Y(t-2)
Is there any R function that performs this type of estimation? I know
that if I only have one time series (i.e. lagged value of X) on the
right hand side then there are R functions to do the estimation. I am
thinking a work around by preparing X(t-1), X(t-2),Y(t),Y(t-1) and
Y(t-2) as five independent variables and use the lm() function to
performance the estimation. Please advise. Thanks.
Michael
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