Convert to 'lm' object
as.lm.RdConvert 'arx'/'gets'/'isat' object to 'lm' object
Value
Object of class lm
Author
Moritz Schwarz, https://www.inet.ox.ac.uk/people/moritz-schwarz/
Genaro Sucarrat http://www.sucarrat.net/
Examples
##generate data, estimate model of class 'arx':
set.seed(123)
y <- rnorm(30)
arxmod <- arx(y, mc=TRUE, ar=1:3)
as.lm(arxmod)
#>
#> Call:
#> lm(formula = y ~ . - 1, data = yx)
#>
#> Coefficients:
#> mconst ar1 ar2 ar3
#> -0.06035 0.03829 -0.15922 0.37697
#>
##from 'gets' to 'lm':
getsmod <- getsm(arxmod, keep=1)
#>
#> GUM mean equation:
#>
#> reg.no. keep coef std.error t-stat p-value
#> mconst 1 1 -0.060347 0.185054 -0.3261 0.74729
#> ar1 2 0 0.038286 0.191216 0.2002 0.84306
#> ar2 3 0 -0.159216 0.192118 -0.8287 0.41577
#> ar3 4 0 0.376970 0.194771 1.9354 0.06532 .
#> ---
#> Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1
#>
#>
#> Diagnostics:
#>
#> Chi-sq df p-value
#> Ljung-Box AR(4) 2.4348 4 0.65635
#> Ljung-Box ARCH(1) 2.4042 1 0.12101
#>
#> 3 path(s) to search
#> Searching:
#> 1
#> 2
#> 3
#>
#> Path 1: 2 3 4
#> Path 2: 3 2 4
#> Path 3: 4 2 3
#>
#> Terminal models:
#>
#> info(sc) logl n k
#> spec 1 (1-cut): 2.883843 -37.28396 27 1
#>
#> Retained regressors (final model):
#>
#> mconst
as.lm(getsmod)
#>
#> Call:
#> lm(formula = y ~ . - 1, data = yx)
#>
#> Coefficients:
#> mconst
#> -0.08078
#>
##from 'isat' to 'lm':
isatmod <- isat(y)
#>
#> SIS block 1 of 2:
#> 15 path(s) to search
#> Searching:
#> 1
#> 2
#> 3
#> 4
#> 5
#> 6
#> 7
#> 8
#> 9
#> 10
#> 11
#> 12
#> 13
#> 14
#> 15
#>
#> SIS block 2 of 2:
#> 14 path(s) to search
#> Searching:
#> 1
#> 2
#> 3
#> 4
#> 5
#> 6
#> 7
#> 8
#> 9
#> 10
#> 11
#> 12
#> 13
#> 14
#>
#> GETS of union of retained SIS variables...
#>
#> GETS of union of ALL retained variables...
as.lm(isatmod)
#>
#> Call:
#> lm(formula = y ~ . - 1, data = yx)
#>
#> Coefficients:
#> mconst
#> -0.0471
#>