flu = ts(scan("flu.dat"));
dflu = diff(flu);
a = dflu;
for (l in 1:6)
       a = cbind(a, lag(dflu, -l));
       a = cbind(a, lag(dflu, -1) > 0.05);
       a = data.frame(a);
names(a) = c("x", paste("x", 1:6, sep = ""), "delta");
summary(lm(x ~ delta + x1*delta + x2*delta + x3*delta + x4*delta +
                    x5*delta + x6*delta, data = a));
flu.l = lm(x ~ -1 + delta + x1*delta + x2*delta + x3*delta + x4*delta,
              data = a);
summary(flu.l);
flu.r = residuals(flu.l);
delta = a$delta[4 + 1:length(flu.r)];
lapply(split(flu.r, delta), sd);
acf(flu.r);

也可以这样做——

flu.lF = lm(x ~ x1 + x2 + x3 + x4, data = a, subset = (delta == 0));
summary(flu.lF);
flu.lT = lm(x ~ x1 + x2 + x3 + x4, data = a, subset = (delta == 1));
summary(flu.lT);