plm (version 1.6-5)

dynformula: 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.

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.

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.

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)