Hi all,

i´ve got a technical question for using the lm-function.

I would like to make a linear regression with the following shape:

∆Y_t= -φ*ε_(t-1)+ β* ∆X_t+ u_t

with u_t = residuals.

I want to estimate the parameters φ and β.

I already know, that by adding " -1 " in the formula of the lm-function, i will get an estimation without an intercept.

My problem is the "-" before the φ. How do i need to build the formula in this case?

My first attempt was like this:

lm(∆Y_t ~ -ε_(t-1) + ∆X_t - 1). The result was a model without consideration of the variable ε_(t-1).

Greetings

donno