Re: [R] regression using a lagged dependent variable as explanatory variable

From: Gabor Grothendieck <>
Date: Sun 16 Oct 2005 - 01:50:01 EST

Create time series from your data and then use lm with the dyn or dynlm package (as lm does not support time series directly). With the dyn package you just preface lm with dyn$ and then use lm as usual:

yt <- ts(y)
xt <- ts(x)
dyn$lm(yt ~ xt + lag(yt, -1))

After loading dyn try this for more info:


On 10/15/05, giacomo moro <> wrote:
> Hi,
> I would like to regress y (dependent variable) on x (independent variable) and y(-1).
> I have create the y(-1) variable in this way: ly<-lag(y, -1)
> Now if I do the following regression lm (y ~ x + ly) the results I obtain are not correct.
> Can someone tell me the code to use in R in order to perform a regression using as explanatory variable a lagged dependent variable?
> My best regards,
> Giacomo
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> mailing list PLEASE do read the posting guide! Received on Sun Oct 16 01:58:55 2005

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