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\name{dynlm}
\alias{dynlm}
\alias{print.dynlm}
\alias{summary.dynlm}
\alias{print.summary.dynlm}
\alias{time.dynlm}
\alias{index.dynlm}
\alias{start.dynlm}
\alias{end.dynlm}
\alias{recresid.dynlm}
\title{Dynamic Linear Models and Time Series Regression}
\description{
Interface to \code{\link{lm.wfit}} for fitting dynamic linear models
and time series regression relationships.
}
\usage{dynlm(formula, data, subset, weights, na.action, method = "qr",
model = TRUE, x = FALSE, y = FALSE, qr = TRUE, singular.ok = TRUE,
contrasts = NULL, offset, start = NULL, end = NULL, ...)}
\arguments{
\item{formula}{a \code{"formula"} describing the linear model to be fit.
For details see below and \code{\link{lm}}.}
\item{data}{an optional \code{"data.frame"} or time series object (e.g.,
\code{"ts"} or \code{"zoo"}), containing the variables
in the model. If not found in \code{data}, the variables are taken
from \code{environment(formula)}, typically the environment from which
\code{lm} is called.}
\item{subset}{an optional vector specifying a subset of observations
to be used in the fitting process.}
\item{weights}{an optional vector of weights to be used
in the fitting process. If specified, weighted least squares is used
with weights \code{weights} (that is, minimizing \code{sum(w*e^2)});
otherwise ordinary least squares is used.}
\item{na.action}{a function which indicates what should happen
when the data contain \code{NA}s. The default is set by
the \code{na.action} setting of \code{\link{options}}, and is
\code{\link{na.fail}} if that is unset. The \dQuote{factory-fresh}
default is \code{\link{na.omit}}. Another possible value is
\code{NULL}, no action. Note, that for time series regression
special methods like \code{\link{na.contiguous}}, \code{\link[zoo]{na.locf}}
and \code{\link[zoo]{na.approx}} are available.}
\item{method}{the method to be used; for fitting, currently only
\code{method = "qr"} is supported; \code{method = "model.frame"} returns
the model frame (the same as with \code{model = TRUE}, see below).}
\item{model, x, y, qr}{logicals. If \code{TRUE} the corresponding
components of the fit (the model frame, the model matrix, the
response, the QR decomposition) are returned.}
\item{singular.ok}{logical. If \code{FALSE} (the default in S but
not in \R) a singular fit is an error.}
\item{contrasts}{an optional list. See the \code{contrasts.arg}
of \code{model.matrix.default}.}
\item{offset}{this can be used to specify an \emph{a priori}
known component to be included in the linear predictor
during fitting. An \code{\link{offset}} term can be included in the
formula instead or as well, and if both are specified their sum is used.}
\item{start}{start of the time period which should be used for fitting the model.}
\item{end}{end of the time period which should be used for fitting the model.}
\item{\dots}{additional arguments to be passed to the low level
regression fitting functions.}
}
\details{
The interface and internals of \code{dynlm} are very similar to \code{\link{lm}},
but currently \code{dynlm} offers three advantages over the direct use of
\code{lm}: 1. extended formula processing, 2. preservation of time series
attributes, 3. instrumental variables regression (via two-stage least squares).
For specifying the \code{formula} of the model to be fitted, there are
additional functions available which allow for convenient specification
of dynamics (via \code{d()} and \code{L()}) or linear/cyclical patterns
(via \code{trend()}, \code{season()}, and \code{harmon()}).
All new formula functions require that their arguments are time
series objects (i.e., \code{"ts"} or \code{"zoo"}).
Dynamic models: An example would be \code{d(y) ~ L(y, 2)}, where
\code{d(x, k)} is \code{diff(x, lag = k)} and \code{L(x, k)} is
\code{lag(x, lag = -k)}, note the difference in sign. The default
for \code{k} is in both cases \code{1}. For \code{L()}, it
can also be vector-valued, e.g., \code{y ~ L(y, 1:4)}.
Trends: \code{y ~ trend(y)} specifies a linear time trend where
\code{(1:n)/freq} is used by default as the regressor. \code{n} is the
number of observations and \code{freq} is the frequency of the series
(if any, otherwise \code{freq = 1}). Alternatively, \code{trend(y, scale = FALSE)}
would employ \code{1:n} and \code{time(y)} would employ the original time index.
Seasonal/cyclical patterns: Seasonal patterns can be specified
via \code{season(x, ref = NULL)} and harmonic patterns via
\code{harmon(x, order = 1)}.
\code{season(x, ref = NULL)} creates a factor with levels for each cycle of the season. Using
the \code{ref} argument, the reference level can be changed from the default
first level to any other. \code{harmon(x, order = 1)} creates a matrix of
regressors corresponding to \code{cos(2 * o * pi * time(x))} and
\code{sin(2 * o * pi * time(x))} where \code{o} is chosen from \code{1:order}.
See below for examples and \code{\link{M1Germany}} for a more elaborate application.
Furthermore, a nuisance when working with \code{lm} is that it offers only limited
support for time series data, hence a major aim of \code{dynlm} is to preserve
time series properties of the data. Explicit support is currently available
for \code{"ts"} and \code{"zoo"} series. Internally, the data is kept as a \code{"zoo"}
series and coerced back to \code{"ts"} if the original dependent variable was of
that class (and no internal \code{NA}s were created by the \code{na.action}).
To specify a set of instruments, formulas of type \code{y ~ x1 + x2 | z1 + z2}
can be used where \code{z1} and \code{z2} represent the instruments. Again,
the extended formula processing described above can be employed for all variables
in the model.
}
\seealso{\code{\link[zoo]{zoo}}, \code{\link[zoo]{merge.zoo}}}
\examples{
###########################
## Dynamic Linear Models ##
###########################
## multiplicative SARIMA(1,0,0)(1,0,0)_12 model fitted
## to UK seatbelt data
data("UKDriverDeaths", package = "datasets")
uk <- log10(UKDriverDeaths)
dfm <- dynlm(uk ~ L(uk, 1) + L(uk, 12))
dfm
## explicitly set start and end
dfm <- dynlm(uk ~ L(uk, 1) + L(uk, 12), start = c(1975, 1), end = c(1982, 12))
dfm
## remove lag 12
dfm0 <- update(dfm, . ~ . - L(uk, 12))
anova(dfm0, dfm)
## add season term
dfm1 <- dynlm(uk ~ 1, start = c(1975, 1), end = c(1982, 12))
dfm2 <- dynlm(uk ~ season(uk), start = c(1975, 1), end = c(1982, 12))
anova(dfm1, dfm2)
plot(uk)
lines(fitted(dfm0), col = 2)
lines(fitted(dfm2), col = 4)
## regression on multiple lags in a single L() call
dfm3 <- dynlm(uk ~ L(uk, c(1, 11, 12)), start = c(1975, 1), end = c(1982, 12))
anova(dfm, dfm3)
## Examples 7.11/7.12 from Greene (1993)
data("USDistLag", package = "lmtest")
dfm1 <- dynlm(consumption ~ gnp + L(consumption), data = USDistLag)
dfm2 <- dynlm(consumption ~ gnp + L(gnp), data = USDistLag)
plot(USDistLag[, "consumption"])
lines(fitted(dfm1), col = 2)
lines(fitted(dfm2), col = 4)
if(require("lmtest")) encomptest(dfm1, dfm2)
###############################
## Time Series Decomposition ##
###############################
## airline data
data("AirPassengers", package = "datasets")
ap <- log(AirPassengers)
ap_fm <- dynlm(ap ~ trend(ap) + season(ap))
summary(ap_fm)
## Alternative time trend specifications:
## time(ap) 1949 + (0, 1, ..., 143)/12
## trend(ap) (1, 2, ..., 144)/12
## trend(ap, scale = FALSE) (1, 2, ..., 144)
## Exhibit 3.5/3.6 from Cryer & Chan (2008)
if(require("TSA")) {
data("tempdub", package = "TSA")
td_lm <- dynlm(tempdub ~ harmon(tempdub))
summary(td_lm)
plot(tempdub, type = "p")
lines(fitted(td_lm), col = 2)
}
}
\keyword{regression}
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