R help - Nov 2011 - detecting autocorrelation structure in panel data

Hello,
I'm a newby in R. I have created a data.frame holding panel data, with
the following columns: "id","time","y", say:

periods = 100
numcases = 100
df = data.frame(
 id = rep(1:numcases,periods),
 time = rep(1:periods, each = numcases)
)
df = transform(df,y=c(rnorm(numcases*periods)+id)

I want to check whether "y" is autocorrelated. I came across the acf()
function, but I cannot understand how to specify that my time variable
is "time" and that individuals are identified by their "id".
I have
also tried to convert my data.frame in a ts or a xts object, but got
really lost there. I'd really apreciate help...

Thank you,
Matteo

On Mon, Nov 28, 2011 at 3:54 AM, Matteo Richiardi
<matteo.richiardi at gmail.com> wrote:
> Hello,
> I'm a newby in R. I have created a data.frame holding panel data, with
>
Take a look at the 'plm' package and its vignette.

Regards
Liviu

> the following columns: "id","time","y", say:
>
> periods = 100
> numcases = 100
> df = data.frame(
> ?id = rep(1:numcases,periods),
> ?time = rep(1:periods, each = numcases)
> )
> df = transform(df,y=c(rnorm(numcases*periods)+id)
>
> I want to check whether "y" is autocorrelated. I came across the
acf()
> function, but I cannot understand how to specify that my time variable
> is "time" and that individuals are identified by their
"id". I have
> also tried to convert my data.frame in a ts or a xts object, but got
> really lost there. I'd really apreciate help...
>
> Thank you,
> Matteo
>
> ______________________________________________
> R-help at r-project.org mailing list
> https://stat.ethz.ch/mailman/listinfo/r-help
> PLEASE do read the posting guide
http://www.R-project.org/posting-guide.html
> and provide commented, minimal, self-contained, reproducible code.
>


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