Re: [R] Parameter Estimation in R with Sums and Lagged Variables

Hi: Google for koyck distributed lag. Based on what you wrote, I think that's what you're looking for or something close to it. There is tons of literature on that model and if you read enough about it, you'll see that through a transformation, reduces to something that much simpler to estimate.

[R] Parameter Estimation in R with Sums and Lagged Variables

Hi guys, I am afraid I am stuck with an estimation problem. I have two variables, X and Y. Y is explained by the weighted sum of n lagged values of X. My aim is to estimate the two parameters c(alpha0,alpha1) in: Yt = Sum from j=1 to n of ( ( alpha0 + alpha1 * j ) * Xt-j ) Where Xt-j denotes th