Autoregression is just X(n+1) = a X(n) + b + error. The mean reverting model is when |a| < 1. Estimation is carried out using
x_ar <- ar(x) summary(x_ar) standard error is found in the square root of the diagonal of the x_ar $asy.var.coef matrix. please read the documentation found at ?ar to get full details. On Mar 10, 9:18 am, Josuah Rechtsteiner <rechtstei...@bgki.net> wrote: > hi andrew, > > the problem is that I don't know what kind of model this exactly is... > I only know that I have to do it this way and how the model is > structured. > > > > > Mean reverting model = autoregression? If so, then search for > > > ?ar > > > or > > > ?arima > > > to fit a time series. > > > On Mar 10, 4:36 am, Josuah Rechtsteiner <rechtstei...@bgki.net> wrote: > >> dear useRs, > > >> i'm working with a mean reverting model of the following > >> specification: > > >> y = mu + beta(x - mu) + errorterm, where mu is a constant > > >> currently I estimate just y = x (with lm()) to get beta and then > >> calculate mu = estimated intercept / (1-beta). > > >> but I'd like to estimate mu and beta together in one regression-step > >> and also get the test-statistics (including parameter variance) for > >> mu > >> as well as for beta in the summary of the regression. > > >> could you please help me? > > >> thanks very much in advance! > > >> josuah > > >> ______________________________________________ > >> r-h...@r-project.org mailing listhttps://stat.ethz.ch/mailman/ > >> listinfo/r-help > >> PLEASE do read the posting guidehttp://www.R-project.org/posting-guide.html > >> and provide commented, minimal, self-contained, reproducible code. > > > ______________________________________________ > > r-h...@r-project.org mailing list > >https://stat.ethz.ch/mailman/listinfo/r-help > > PLEASE do read the posting guidehttp://www.R-project.org/posting-guide.html > > and provide commented, minimal, self-contained, reproducible code. > > ______________________________________________ > r-h...@r-project.org mailing listhttps://stat.ethz.ch/mailman/listinfo/r-help > PLEASE do read the posting guidehttp://www.R-project.org/posting-guide.html > and provide commented, minimal, self-contained, reproducible code. ______________________________________________ R-help@r-project.org mailing list https://stat.ethz.ch/mailman/listinfo/r-help PLEASE do read the posting guide http://www.R-project.org/posting-guide.html and provide commented, minimal, self-contained, reproducible code.
