How should I define a model formula in "R", when one (or more) exact linear restrictions binding the coefficients is available.

Equation: y = b1*x1 + b2*x1

where y = b1*x1 for t < t1 and y = b2*x1 for t > t1

Thank You..!


Avoiding difficult formulas may be the simplest: just create two new vectors:

x2 <- ifelse(t<t1, x1, 0)
x3 <- ifelse(t<t1, 0, x1)

Now you can simply fit y ~ x2 + x3 -1 (I'm using R formula notation here).

Different solutions are possible (this comes down to a different dummy coding scheme). The best may depend on the correctness of the matching assumptions, and of course on your goals for the research.

  • $\begingroup$ I edited your LaTeX to code-format (LaTeX mathematics, among other things, insists on making " <- " into "< -", which is quite a different thing in R). If you want to change it back, you should be able to revert without making the individual changes. $\endgroup$ – Glen_b Mar 29 '13 at 15:14
  • $\begingroup$ Much obliged. I'm swapping technologies a lot lately, so obfuscation tends to happen :) $\endgroup$ – Nick Sabbe Mar 29 '13 at 15:24

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