Description Usage Arguments Details Value Author(s) References Examples

A function that applies distributed lag models with Koyck transformation with one predictor.

1 | ```
koyckDlm(x , y)
``` |

`x` |
A vector including the observations of predictor time series. This is not restricted to |

`y` |
A vector including the observations of dependent time series. This is not restricted to |

To deal with infinite DLMs, we can use the Koyck transformation. When we apply Koyck transformation, we get the following:

*
Y_{t} - φ Y_{t-1} = α (1-φ)+β X_{t} + (ε_{t}-φ ε_{t-1}).
*

When we solve this equation for *Y_{t}*, we obtain Koyck DLM as follows:

*
Y_{t} = δ_{1} + δ_{2} Y_{t-1} + δ_{3} X_{t} + ν_{t},
*

where *δ_{1} = α (1-φ),δ_{2}=φ,δ_{3}=β* and the random error after the transformation is *ν_{t}=(ε_{t}-φ ε_{t-1})* (Judge and Griffiths, 2000).

Then, instrumental variables estimation is employed to fit the model.

The standard function `summary()`

prints model summary for the model of interest.

`model` |
An object of class |

`geometric.coefficients` |
A vector composed of corresponding geometric distributed lag model coefficients. |

Haydar Demirhan

Maintainer: Haydar Demirhan <[email protected]t.edu.au>

B.H. Baltagi. *Econometrics*, Fifth Ed. Springer, 2011.

R.C. Hill, W.E. Griffiths, G.G. Judge. *Undergraduate Econometrics*. Wiley, 2000.

1 2 3 4 |

```
Loading required package: dynlm
Loading required package: zoo
Attaching package: 'zoo'
The following objects are masked from 'package:base':
as.Date, as.Date.numeric
Loading required package: wavethresh
Loading required package: MASS
WaveThresh: R wavelet software, release 4.6.8, installed
Copyright Guy Nason and others 1993-2016
Note: nlevels has been renamed to nlevelsWT
Loading required package: AER
Loading required package: car
Loading required package: lmtest
Loading required package: sandwich
Loading required package: survival
Loading required package: Hmisc
Loading required package: lattice
Loading required package: Formula
Loading required package: ggplot2
Attaching package: 'Hmisc'
The following objects are masked from 'package:base':
format.pval, round.POSIXt, trunc.POSIXt, units
Call:
ivreg(formula = y.t ~ Y.t_1 + X.t | Y.t_1 + X.t_1)
Residuals:
Min 1Q Median 3Q Max
-0.135894 -0.090056 0.003193 0.076844 0.143812
Coefficients:
Estimate Std. Error t value Pr(>|t|)
(Intercept) 0.060814 0.136314 0.446 0.6615
Y.t_1 0.239589 0.331208 0.723 0.4799
X.t 0.006074 0.002814 2.158 0.0464 *
---
Signif. codes: 0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1
Residual standard error: 0.09509 on 16 degrees of freedom
Multiple R-Squared: 0.5459, Adjusted R-squared: 0.4891
Wald test: 9.655 on 2 and 16 DF, p-value: 0.001777
alpha beta phi
Geometric coefficients: 0.07997527 0.006074464 0.2395892
Length Class Mode
model 19 ivreg list
geometric.coefficients 3 data.frame list
call 3 -none- call
```

dLagM documentation built on Oct. 22, 2018, 5:08 p.m.

Embedding an R snippet on your website

Add the following code to your website.

For more information on customizing the embed code, read Embedding Snippets.