I am trying to replicate/validate the results from the "black box" Econometrics software Eviews, compared to R and EViews uses the Almon approach. I will try the code kindly offered by Thomas.
I would be interested in the way to apply the B-spline expansion in lm()
Thanks!
Francisco
From: Roger Koenker <[EMAIL PROTECTED]> To: Thomas Lumley <[EMAIL PROTECTED]> CC: r-help <[EMAIL PROTECTED]> Subject: Re: [R] Polynomial lags Date: Tue, 21 Oct 2003 09:57:10 -0500 (CDT)
For what it is worth, I would have thought that expressing the lag coefficients in a B-spline expansion would be preferable to going back to Almon approach. This would give a relatively simple lm() application.
url: www.econ.uiuc.edu/~roger/my.html Roger Koenker email [EMAIL PROTECTED] Department of Economics vox: 217-333-4558 University of Illinois fax: 217-244-6678 Champaign, IL 61820
On Tue, 21 Oct 2003, Thomas Lumley wrote:
> On Tue, 21 Oct 2003, Spencer Graves wrote:
>
> > Have you checked "www.r-project.org" -> search -> "R site search"? I
> > just got 15 hits for "polynomial lag". If you haven't already tried
> > this, I'd guess that some of these hits (though certainly not all) might
> > help you.
> >
>
> Only one of these is about polynomial distributed lag models, and it's an
> apparently unsuccessful request for information.
>
> I have code
> http://faculty.washington.edu/tlumley/pdl.R
> and documentation
> http://faculty.washington.edu/tlumley/pdlglm.html
> for a version for generalised linear models.
>
> Note that I have not used this for some years, so it may run into problems
> with changes in R. Also note that it is just a generalised linear model
> -- it doesn't do anything about residual autocorrelation (which isn't a
> problem in the application I was working on).
>
>
> -thomas
>
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