[R] obtaining the sum of lagged variables

T.Riedle tr206 at kent.ac.uk
Fri Apr 24 21:17:47 CEST 2015

Hi everybody,
I am trying to replicate the formula shown in the attachment. I want to estimate tau using a macroeconomic variable X at month t using k lags of the variable X.
My code so far looks as follows:

psi <- fn(...)
k <- 1:K
ltau <- m + theta*sum(psi*X[t-k])

Unfortunately, if I run the code as shown the result I get is NA but I want to obtain a list of ltaus at month t.
ltau <- m + theta*sum(psi*X[t-k])
> ltau
[1] NA

Hence I defined t and ran X[t-k] and get following results. That is, X[t-k] provides every third element in my data table three times instead of calculating the sum of the lagged observations multiplied with psi


> t

 [1]  1  2  3  4  5  6  7  8  9 10 11 12 13 14 15

> X[t-k]

 [1] -0.25 -0.25 -0.25  0.50  0.50  0.50 -0.44 -0.44 -0.44  0.15  0.15  0.15

How do I get the list of taus at month t based on the sum of lagged observations as shown in the attachment?
Thanks in advance

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