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Hi,
I have a question that might be trivial, but I can't really figure it out... I have a multi-factor regression, like:
y c ar(1) x(1) x(2)

where x(1) and x(2) are exogenous. For some reason, if I write it down like this:
y c Y(-1) x(1) x(2)

the coefficients are completely different.

On the other side I have noticed that in a single-factor regression the coefficients do not change.
Is there somebody able to explain why does it happen?

Thanks

They are different models.

AR(1) is equivalent to

y = r*y(-1) + (1-r) x1 + r*x1(-1) + x2-r*x2(-1)

lag model is just

y = r*y(-1) + c + x1+ x2

Thanks