Dynamic Linear Regression

Dynamic linear models and time series regression.


Changes in Version 0.3-6

o Correctly expand '.' in dynlm(y ~ ., data = d) (suggested by Julien Mc Donald-Guimond).

Changes in Version 0.3-5

o Preserve class attribute of "na.action" (based on fix suggested by Matthieu Stigler).

Changes in Version 0.3-4

o In previous versions the weights argument did not work when used with "ts" series.

Changes in Version 0.3-3

o Streamlined Depends/Imports/Suggests. Now "dynlm" only depends on zoo but imports from stats, car, and lmtest. Packages datasets, strucchange, sandwich, and TSA are suggested (for use in examples).

o Improved evaluation of pre-computed formulas (suggested by Vaidotas Zemlys).

o Added tests/ with output from examples for R CMD check.

Changes in Version 0.3-2

o Bug fix so that weights/offset can actually be used.

Changes in Version 0.3-1

o Fixed bug in computation of R-squared values and Wald statistic for two-stage least squares.

Changes in Version 0.3-0

o Added new formula functions trend() and harmon() that allow convenient specification of linear or cyclical patterns.

Changes in Version 0.2-3

o Fixed bug when lagged variables are used in instrumental variables regression.

Changes in Version 0.2-2

o Added CITATION file.

Changes in Version 0.2-1

o Enhanced documentation ?dynlm.

Changes in Version 0.2-0

o Added support for instrumental variables regression (two-stage least squares) via formulas like dynlm(y ~ x1 + x2 | z1 + z2 + z3, data = mydata) where z1, z2, z3 are the instruments.

o Enabled specification of multiple lags via formulas like dynlm(y ~ L(x, 0:4), data = mydata) where y is regressed on x and lags 1 through 4 of x.

o Fixed bug in time properties when there were leading NAs in the data.

Reference manual

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0.3-6 by Achim Zeileis, 3 years ago

Browse source code at https://github.com/cran/dynlm

Authors: Achim Zeileis [aut, cre]

Documentation:   PDF Manual  

Task views: Econometrics, Analysis of Ecological and Environmental Data, Empirical Finance, Time Series Analysis

GPL-2 | GPL-3 license

Imports stats, car, lmtest

Depends on zoo

Suggests datasets, sandwich, strucchange, TSA

Imported by ARDL, NNS.

Depended on by CADFtest, dLagM, meboot.

Suggested by AER, dominanceanalysis, lmtest, strucchange, strucchangeRcpp.

Enhanced by stargazer, texreg.

See at CRAN