R/koyckDlm.main.R

In dLagM: Time Series Regression Models with Distributed Lag Models

#' @export
koyckDlm.main <- function(x , y, intercept ){
  X.t_1 <- array(NA , length(x))
  Y.1 <- array(NA , length(y))
  X.t_1[-1] <- x[1:(length(x) - 1)] 
  Y.1[-1] <- y[1:(length(y) - 1)] 
  y.t <- y
  X.t <- x
  if ( intercept ){
    model <- ivreg(y.t ~ Y.1 + X.t | Y.1 + X.t_1)
  } else if (!intercept){
    model <- ivreg(y.t ~ Y.1 + X.t -1 | Y.1 + X.t_1 )
  }
  coefs <- model$coefficients
  beta <- coefs[3]
  phi <- coefs[2]
  alpha <- coefs[1]/(1 - phi)
  geometric.coefficients <- data.frame(alpha, beta , phi)
  rownames(geometric.coefficients) <- "Geometric coefficients: "
  model$call <- "Y ~ (Intercept) + Y.1 + X.t"
  return(list(model = model, geometric.coefficients = geometric.coefficients))
}