R : Copyright 2005, The R Foundation for Statistical Computing
Version 2.1.1  (2005-06-20), ISBN 3-900051-07-0

R is free software and comes with ABSOLUTELY NO WARRANTY.
You are welcome to redistribute it under certain conditions.
Type 'license()' or 'licence()' for distribution details.

R is a collaborative project with many contributors.
Type 'contributors()' for more information and
'citation()' on how to cite R or R packages in publications.

Type 'demo()' for some demos, 'help()' for on-line help, or
'help.start()' for a HTML browser interface to help.
Type 'q()' to quit R.

> ### * <HEADER>
> ###
> attach(NULL, name = "CheckExEnv")
> assign(".CheckExEnv", as.environment(2), pos = length(search())) # base
> ## add some hooks to label plot pages for base and grid graphics
> setHook("plot.new", ".newplot.hook")
> setHook("persp", ".newplot.hook")
> setHook("grid.newpage", ".gridplot.hook")
> 
> assign("cleanEx",
+        function(env = .GlobalEnv) {
+ 	   rm(list = ls(envir = env, all.names = TRUE), envir = env)
+            RNGkind("default", "default")
+ 	   set.seed(1)
+    	   options(warn = 1)
+ 	   delayedAssign("T", stop("T used instead of TRUE"),
+ 		  assign.env = .CheckExEnv)
+ 	   delayedAssign("F", stop("F used instead of FALSE"),
+ 		  assign.env = .CheckExEnv)
+ 	   sch <- search()
+ 	   newitems <- sch[! sch %in% .oldSearch]
+ 	   for(item in rev(newitems))
+                eval(substitute(detach(item), list(item=item)))
+ 	   missitems <- .oldSearch[! .oldSearch %in% sch]
+ 	   if(length(missitems))
+ 	       warning("items ", paste(missitems, collapse=", "),
+ 		       " have been removed from the search path")
+        },
+        env = .CheckExEnv)
> assign("..nameEx", "__{must remake R-ex/*.R}__", env = .CheckExEnv) # for now
> assign("ptime", proc.time(), env = .CheckExEnv)
> grDevices::postscript("dynlm-Examples.ps")
> assign("par.postscript", graphics::par(no.readonly = TRUE), env = .CheckExEnv)
> options(contrasts = c(unordered = "contr.treatment", ordered = "contr.poly"))
> options(warn = 1)    
> library('dynlm')
Loading required package: zoo
> 
> assign(".oldSearch", search(), env = .CheckExEnv)
> assign(".oldNS", loadedNamespaces(), env = .CheckExEnv)
> cleanEx(); ..nameEx <- "M1Germany"
> 
> ### * M1Germany
> 
> flush(stderr()); flush(stdout())
> 
> ### Encoding: latin1
> 
> ### Name: M1Germany
> ### Title: German M1 Money Demand
> ### Aliases: M1Germany
> ### Keywords: datasets
> 
> ### ** Examples
> 
> data(M1Germany)
> ## fit the model of Lütkepohl et al. (1999) on the history period
> ## before the monetary unification 
> histfm <- dynlm(d(logm1) ~ d(L(loggnp, 2)) + d(interest) + d(L(interest)) + d(logprice) +
+                         L(logm1) + L(loggnp) + L(interest) +
+                         season(logm1),
+                 data = M1Germany, start = c(1961, 1), end = c(1990, 2))
> 
> ## fit on extended sample period
> fm <- update(histfm, end = c(1995, 4))
> 
> if(require(strucchange)) {
+   scus <- gefp(fm, fit = NULL)
+   plot(scus, functional = supLM(0.1))
+ }
Loading required package: strucchange
Loading required package: sandwich
> 
> 
> 
> cleanEx(); ..nameEx <- "dynlm"
Warning in detach("package:sandwich") : package:sandwich is required by package:strucchange (still attached)
> 
> ### * dynlm
> 
> flush(stderr()); flush(stdout())
> 
> ### Name: dynlm
> ### Title: Dynamic Linear Models and Time-Series Regression
> ### Aliases: dynlm
> ### Keywords: regression
> 
> ### ** Examples
> 
> ## multiplicative SARIMA(1,0,0)(1,0,0)_12 model fitted
> ## to UK seatbelt data
> uk <- log10(UKDriverDeaths)
> dfm <- dynlm(uk ~ L(uk, 1) + L(uk, 12))
> dfm

Call:
dynlm(formula = uk ~ L(uk, 1) + L(uk, 12))

Coefficients:
(Intercept)     L(uk, 1)    L(uk, 12)  
     0.1826       0.4310       0.5112  

> ## explicitely set start and end
> dfm <- dynlm(uk ~ L(uk, 1) + L(uk, 12), start = c(1975, 1), end = c(1982, 12))
> dfm

Call:
dynlm(formula = uk ~ L(uk, 1) + L(uk, 12), start = c(1975, 1),     end = c(1982, 12))

Coefficients:
(Intercept)     L(uk, 1)    L(uk, 12)  
     0.5418       0.2072       0.6228  

> 
> ## remove lag 12
> dfm0 <- update(dfm, . ~ . - L(uk, 12))
> anova(dfm0, dfm)
Analysis of Variance Table

Model 1: uk ~ L(uk, 1)
Model 2: uk ~ L(uk, 1) + L(uk, 12)
  Res.Df     RSS Df Sum of Sq      F    Pr(>F)    
1     94 0.24019                                  
2     93 0.13598  1   0.10421 71.272 4.007e-13 ***
---
Signif. codes:  0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1 
> 
> ## add season term
> dfm1 <- dynlm(uk ~ 1, start = c(1975, 1), end = c(1982, 12))
> dfm2 <- dynlm(uk ~ season(uk), start = c(1975, 1), end = c(1982, 12))
> anova(dfm1, dfm2)
Analysis of Variance Table

Model 1: uk ~ 1
Model 2: uk ~ season(uk)
  Res.Df     RSS Df Sum of Sq      F    Pr(>F)    
1     95 0.32151                                  
2     84 0.07277 11   0.24874 26.102 < 2.2e-16 ***
---
Signif. codes:  0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1 
> 
> plot(uk)
> lines(fitted(dfm0), col = 2)
> lines(fitted(dfm2), col = 4)
> 
> ## Examples 7.11/7.12 from Greene (1993)
> if(require(lmtest)) {
+ data(USDistLag)
+ dfm1 <- dynlm(consumption ~ gnp + L(consumption), data = USDistLag)
+ dfm2 <- dynlm(consumption ~ gnp + L(gnp), data = USDistLag)
+ plot(USDistLag[, "consumption"])
+ lines(fitted(dfm1), col = 2)
+ lines(fitted(dfm2), col = 4)
+ encomptest(dfm1, dfm2)
+ }
Loading required package: lmtest
Encompassing test

Model 1: consumption ~ gnp + L(consumption)
Model 2: consumption ~ gnp + L(gnp)
Model E: consumption ~ gnp + L(consumption) + L(gnp)
          Res.Df Df      F    Pr(>F)    
M1 vs. ME     15  1 12.569 0.0029371 ** 
M2 vs. ME     15  1 27.093 0.0001067 ***
---
Signif. codes:  0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1 
> 
> 
> 
> ### * <FOOTER>
> ###
> cat("Time elapsed: ", proc.time() - get("ptime", env = .CheckExEnv),"\n")
Time elapsed:  1.38 0.03 1.49 0 0 
> grDevices::dev.off()
null device 
          1 
> ###
> ### Local variables: ***
> ### mode: outline-minor ***
> ### outline-regexp: "\\(> \\)?### [*]+" ***
> ### End: ***
> quit('no')