I want to set up a model with a formula and then run dynlm(formula)
because I ultimately want to loop over a set of formulas (see end of post) R> form <- gas~price R> dynlm(form) Time series regression with "ts" data: Start = 1959(1), End = 1990(4) <snip> Works OK without a Lag term R> dynlm(gas ~ L(gas,1)) Time series regression with "ts" data: Start = 1959(2), End = 1990(4) <snip> Works OK with a Lag with this type of call R> form <- gas~L(gas,1) R> dynlm(form) Error in merge.zoo(gas, L(gas, 1), retclass = "list", all = FALSE) : could not find function "L" Does not work using a predefined formula with a Lag (This type of call works using dyn$lm from library(dyn)) How do I make the call (or how do I setup form) so that this works in dynlm? Thanks for any help, Ron To be specific the following is an example of what I was attempting to do: m1 <- gas ~ L(gas,1) m2 <- gas ~ L(gas,1) + price m3 <- gas ~ L(gas,1) + price + d(gas) m4 <- gas ~ L(gas,1) + price + d(gas) + L(d(gas),1) M <- c(m1,m2,m3,m4) A <- array(0,c(4,2)) for(i in 1:4){ g <- dynlm(M[[i]]) ## works if use dyn$lm from library(dyn) and use appropriate m's A[i,1] <- AIC(g,k=2) A[i,2] <- AIC(g,k=log(length(fitted(g)))) } colnames(A) <- c("AIC","BIC") rownames(A) <- c("m1","m2","m3","m4") A -- R. R. Burns Retired in Oceanside, CA ______________________________________________ [hidden email] 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. |
On Sat, 18 Apr 2009, Ron Burns wrote:
> I want to set up a model with a formula and then run dynlm(formula) because I > ultimately want to loop over a set of formulas (see end of post) > > R> form <- gas~price > R> dynlm(form) > > Time series regression with "ts" data: > Start = 1959(1), End = 1990(4) > <snip> > > Works OK without a Lag term > > R> dynlm(gas ~ L(gas,1)) > > Time series regression with "ts" data: > Start = 1959(2), End = 1990(4) > <snip> > > Works OK with a Lag with this type of call > > R> form <- gas~L(gas,1) > R> dynlm(form) > Error in merge.zoo(gas, L(gas, 1), retclass = "list", all = FALSE) : > could not find function "L" > > Does not work using a predefined formula with a Lag (This type of call works > using dyn$lm from library(dyn)) The problem with "dynlm" is that it defines it's lag/diff functionality locally (unlike "dyn" which re-uses the usual lag/diff functions) and in the setting above this conflicts with the non-standard evaluation, unfortunately. I don't know a good solution to this... > How do I make the call (or how do I setup form) so that this works in dynlm? In your specific problem, I think it is worth to take the extra step and do the processing yourself because... > To be specific the following is an example of what I was attempting to do: > m1 <- gas ~ L(gas,1) > m2 <- gas ~ L(gas,1) + price > m3 <- gas ~ L(gas,1) + price + d(gas) > m4 <- gas ~ L(gas,1) + price + d(gas) + L(d(gas),1) ...these models correspond to different samples. m4 will lose one more observation at the beginning by lag+diff. Of course, it is possible to address this in dynlm as well but I (personally) find it simpler to do the data processing first and then the modeling and model selection. I would do something like: ## data processing dat <- ts.intersect(gas, price, gas1 = lag(gas, k = -1), dgas = diff(gas), dgas1 = lag(diff(gas), k = -1)) ## models form <- list( gas ~ gas1, gas ~ gas1 + price, gas ~ gas1 + price + dgas, gas ~ gas1 + price + dgas + dgas1) ## fitting mod <- lapply(form, lm, data = dat) ## evaluation sapply(mod, AIC) sapply(mod, AIC, k = log(nrow(dat))) hth, Z > M <- c(m1,m2,m3,m4) > A <- array(0,c(4,2)) > > for(i in 1:4){ > g <- dynlm(M[[i]]) ## works if use dyn$lm from library(dyn) and use > appropriate m's > A[i,1] <- AIC(g,k=2) > A[i,2] <- AIC(g,k=log(length(fitted(g)))) > } > colnames(A) <- c("AIC","BIC") > rownames(A) <- c("m1","m2","m3","m4") > A > > -- > > R. R. Burns > Retired in Oceanside, CA > > ______________________________________________ > [hidden email] 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. > > ______________________________________________ [hidden email] 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. |
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