R: Dynamic Formula

dynformula {plm} | R Documentation

## Dynamic Formula

### Description

A function to easily create a formula with lags and differences

### Usage

    dynformula(formula, lag.form = NULL, diff.form = NULL, log.form = NULL)

### Arguments

`formula` | a formula,
`lag.form` | a list containing the lag structure of each variable in the formula,
`diff.form` | a vector (or a list) of logical values indicating whether variables should be differenced,
`log.form` | a vector (or a list) of logical values indicating whether variables should be in logarithms.

### Details

`lag.form` is a list, `diff.form` and `log.form` are vectors (or lists) that should be of length equal to the total number of variables. Each element of these lists/vectors is:

- either a vector of length 2 (`c(1,4)` means lags 1,2,3 and 4) or a scalar (`3` means lags 0,1,2,3 except for the left–hand side variable for which it is 1,2,3) for `lag.form`.

- logical values for `diff.form` and `log.form`.

It can also be an incomplete named list/vector (for example, to apply the transformation for only some variables) with eventually an unnamed element which then is the default value.

### Value

An object of class `c("dynformula","formula")`, which is a formula with four additional attributes: `var`, the names of the variables in the formula, `lag`, `diff`, and `log`, which store the information about lags, differences and logs, respectively.

A `formula` method coerces the `dynformula` object to a standard `formula`.

### Author(s)

Yves Croissant

### Examples

    # all variables in log, x1, x2 and x3 laged twice, y laged once and x3 differenced
    z <- dynformula(y ~ x1 + x2 + x3, lag.form = list(2, y = 1),
                    diff.form = c(x3 = TRUE), log.form = TRUE)
    formula(z)

[Package plm version 1.6-5 Index]