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Ajay Shah

2004-Aug-21 15:47 UTC

[R] Puzzled at lm() and time-series

I tried toy problems and there doesn't seem to be a basic problem
between lm() and ts objects:

   X = data.frame(x=c(1,2,7,9), y=c(7,2,3,1))
   lm(y ~ x, X)
   X <- lapply(X, function(x) ts(x, frequency=12, start=c(1994,7)))
   lm(y ~ x, X)

and this works fine - whether you do an lm() before or after making ts
objects, it's okay. 

But I have a situation where things aren't okay. I have two happy
time-series objects in a data frame:
> M$g.cpi.iw       Jan   Feb   Mar   Apr   May   Jun   Jul   Aug   Sep   Oct   Nov   Dec
1994                                     11.07 10.94 11.20 10.31  9.81  9.47
1995  9.89  9.81  9.74  9.67 10.29 10.47 11.39 10.92 10.07 10.38 10.31  9.69
... (deleted)
2004  4.35  4.13  3.49  2.23  2.83  3.02    NA                              
> M$g.wpi       Jan   Feb   Mar   Apr   May   Jun   Jul   Aug   Sep   Oct   Nov   Dec
1994                                     11.14 11.83 11.88 12.66 13.20 14.54
1995 16.18 16.88 16.88 11.02 10.94  9.70  9.61  8.94  8.92  8.47  8.24  6.62
... (deleted)
2004  6.45  6.14  4.79  4.52  4.99  6.14  6.86                              

But I can't get an OLS going:
> lm(g.cpi.iw ~ g.wpi, M)Error in "storage.mode<-"(`*tmp*`, value = "double") : 
        invalid time series parameters specified

Any idea why? I think both objects are quite conformable (except for
an NA, but that should get dropped by lm() by default).

Here's a block of R code which creates M, in case you'd like to toy
with this:

M = structure(list(g.wpi = structure(c(11.14, 11.83, 11.88, 12.66,
13.2, 14.54, 16.18, 16.88, 16.88, 11.02, 10.94, 9.7, 9.61, 8.94, 8.92,
8.47, 8.24, 6.62, 5.04, 4.51, 4.53, 3.67, 3.58, 3.61, 4.28, 4.9, 5.08,
4.54, 4.48, 5.25, 5.12, 5.47, 5.43, 5.86, 5.09, 5.07, 3.6, 3.26, 3.83,
4.38, 3.94, 4.01, 5.11, 4.17, 4.32, 4.57, 5.64, 6.43, 7.1, 6.56, 5.89,
6.5, 7.15, 6.32, 4.48, 5.4, 5.41, 3.98, 3.31, 2.49, 1.97, 2.79, 3.23,
3.41, 3.1, 2.79, 3.58, 3.5, 5.54, 6.56, 6.35, 6.5, 6.51, 6.12, 6.47,
7.54, 7.61, 8.31, 8.69, 8.35, 6.45, 5.42, 5.6, 5.35, 5.27, 5.38, 4.48,
2.89, 2.59, 2.26, 1.53, 1.35, 1.72, 1.5, 1.5, 2.4, 2.79, 3.35, 3.55,
3.08, 3.39, 3.31, 4.21, 5.38, 6, 6.62, 6.57, 5.39, 4.68, 3.96, 4.9,
5.15, 5.42, 5.79, 6.45, 6.14, 4.79, 4.52, 4.99, 6.14, 6.86), .Tsp c(1994.5,
2004.5, 12), class = "ts"), g.cpi.iw = structure(c(11.07,
10.94, 11.2, 10.31, 9.81, 9.47, 9.89, 9.81, 9.74, 9.67, 10.29, 10.47,
11.39, 10.92, 10.07, 10.38, 10.31, 9.69, 9, 8.59, 8.87, 9.83, 9.33,
8.82, 8.31, 8.89, 8.52, 8.46, 8.72, 10.41, 11.11, 10.76, 10.03, 9.26,
7.32, 6.61, 5.6, 4.66, 4.94, 5.49, 4.87, 6.29, 9.71, 9.14, 8.26, 8.19,
10.51, 12.39, 14.8, 15.04, 16.34, 18.63, 19.67, 15.32, 9.38, 8.64,
8.95, 8.36, 7.71, 5.26, 3.16, 3.15, 2.14, 0.92, 0, 0.47, 2.62, 3.61,
4.83, 5.54, 5.01, 5.24, 4.95, 3.99, 3.5, 2.75, 2.74, 3.48, 3.25, 3.02,
2.53, 2.28, 2.5, 3.39, 4.04, 5.19, 4.73, 4.23, 4.89, 5.16, 4.94, 5.19,
5.17, 4.69, 4.66, 4.16, 3.89, 3.86, 4.3, 4.06, 3.6, 3.2, 3.43, 3.86,
4.06, 5.12, 4.66, 4.41, 4.16, 3.1, 2.89, 3.29, 3.07, 3.72, 4.35, 4.13,
3.49, 2.23, 2.83, 3.02, NA), .Tsp = c(1994.5, 2004.5, 12), class
"ts")), .Names = c("g.wpi", "g.cpi.iw"), row.names
= c("1", "2", "3",
"4", "5", "6", "7", "8",
"9", "10", "11", "12", "13",
"14", "15",
"16", "17", "18", "19", "20",
"21", "22", "23", "24", "25",
"26",
"27", "28", "29", "30", "31",
"32", "33", "34", "35", "36",
"37",
"38", "39", "40", "41", "42",
"43", "44", "45", "46", "47",
"48",
"49", "50", "51", "52", "53",
"54", "55", "56", "57", "58",
"59",
"60", "61", "62", "63", "64",
"65", "66", "67", "68", "69",
"70",
"71", "72", "73", "74", "75",
"76", "77", "78", "79", "80",
"81",
"82", "83", "84", "85", "86",
"87", "88", "89", "90", "91",
"92",
"93", "94", "95", "96", "97",
"98", "99", "100", "101",
"102", "103",
"104", "105", "106", "107",
"108", "109", "110", "111",
"112", "113",
"114", "115", "116", "117",
"118", "119", "120", "121"), class
"data.frame")

-- 
Ajay Shah                                                   Consultant
ajayshah at mayin.org                      Department of Economic Affairs
http://www.mayin.org/ajayshah           Ministry of Finance, New Delhi

Gabor Grothendieck

2004-Aug-23 05:52 UTC

head link

[R] Puzzled at lm() and time-series

Ajay Shah <ajayshah <at> mayin.org> writes:
: 
: But I can't get an OLS going:
: 
: > lm(g.cpi.iw ~ g.wpi, M)
: Error in "storage.mode<-"(`*tmp*`, value = "double") : 
:         invalid time series parameters specified
: 

: 
: M = structure(list(g.wpi = structure(c(11.14, 11.83, 11.88, 12.66,
: 13.2, 14.54, 16.18, 16.88, 16.88, 11.02, 10.94, 9.7, 9.61, 8.94, 8.92,
: 8.47, 8.24, 6.62, 5.04, 4.51, 4.53, 3.67, 3.58, 3.61, 4.28, 4.9, 5.08,
: 4.54, 4.48, 5.25, 5.12, 5.47, 5.43, 5.86, 5.09, 5.07, 3.6, 3.26, 3.83,
: 4.38, 3.94, 4.01, 5.11, 4.17, 4.32, 4.57, 5.64, 6.43, 7.1, 6.56, 5.89,
: 6.5, 7.15, 6.32, 4.48, 5.4, 5.41, 3.98, 3.31, 2.49, 1.97, 2.79, 3.23,
: 3.41, 3.1, 2.79, 3.58, 3.5, 5.54, 6.56, 6.35, 6.5, 6.51, 6.12, 6.47,
: 7.54, 7.61, 8.31, 8.69, 8.35, 6.45, 5.42, 5.6, 5.35, 5.27, 5.38, 4.48,
: 2.89, 2.59, 2.26, 1.53, 1.35, 1.72, 1.5, 1.5, 2.4, 2.79, 3.35, 3.55,
: 3.08, 3.39, 3.31, 4.21, 5.38, 6, 6.62, 6.57, 5.39, 4.68, 3.96, 4.9,
: 5.15, 5.42, 5.79, 6.45, 6.14, 4.79, 4.52, 4.99, 6.14, 6.86), .Tsp : c(1994.5,
2004.5, 12), class = "ts"), g.cpi.iw = structure(c(11.07,
: 10.94, 11.2, 10.31, 9.81, 9.47, 9.89, 9.81, 9.74, 9.67, 10.29, 10.47,
: 11.39, 10.92, 10.07, 10.38, 10.31, 9.69, 9, 8.59, 8.87, 9.83, 9.33,
: 8.82, 8.31, 8.89, 8.52, 8.46, 8.72, 10.41, 11.11, 10.76, 10.03, 9.26,
: 7.32, 6.61, 5.6, 4.66, 4.94, 5.49, 4.87, 6.29, 9.71, 9.14, 8.26, 8.19,
: 10.51, 12.39, 14.8, 15.04, 16.34, 18.63, 19.67, 15.32, 9.38, 8.64,
: 8.95, 8.36, 7.71, 5.26, 3.16, 3.15, 2.14, 0.92, 0, 0.47, 2.62, 3.61,
: 4.83, 5.54, 5.01, 5.24, 4.95, 3.99, 3.5, 2.75, 2.74, 3.48, 3.25, 3.02,
: 2.53, 2.28, 2.5, 3.39, 4.04, 5.19, 4.73, 4.23, 4.89, 5.16, 4.94, 5.19,
: 5.17, 4.69, 4.66, 4.16, 3.89, 3.86, 4.3, 4.06, 3.6, 3.2, 3.43, 3.86,
: 4.06, 5.12, 4.66, 4.41, 4.16, 3.1, 2.89, 3.29, 3.07, 3.72, 4.35, 4.13,
: 3.49, 2.23, 2.83, 3.02, NA), .Tsp = c(1994.5, 2004.5, 12), class :
"ts")), .Names = c("g.wpi", "g.cpi.iw"), row.names
= c("1", "2", "3",
: "4", "5", "6", "7", "8",
"9", "10", "11", "12", "13",
"14", "15",
: "16", "17", "18", "19",
"20", "21", "22", "23", "24",
"25", "26",
: "27", "28", "29", "30",
"31", "32", "33", "34", "35",
"36", "37",
: "38", "39", "40", "41",
"42", "43", "44", "45", "46",
"47", "48",
: "49", "50", "51", "52",
"53", "54", "55", "56", "57",
"58", "59",
: "60", "61", "62", "63",
"64", "65", "66", "67", "68",
"69", "70",
: "71", "72", "73", "74",
"75", "76", "77", "78", "79",
"80", "81",
: "82", "83", "84", "85",
"86", "87", "88", "89", "90",
"91", "92",
: "93", "94", "95", "96",
"97", "98", "99", "100",
"101", "102", "103",
: "104", "105", "106", "107",
"108", "109", "110", "111",
"112", "113",
: "114", "115", "116", "117",
"118", "119", "120", "121"), class :
"data.frame")
: 
>From the above we see there is an NA in the last observation.If we delete that observation then it runs to completion:

R> lm(g.cpi.iw ~ g.wpi, M, subset = -121)

Call:
lm(formula = g.cpi.iw ~ g.wpi, data = M, subset = -121)

Coefficients:
(Intercept)        g.wpi  
     3.7952       0.5083

Prof Brian Ripley

2004-Aug-23 06:53 UTC

head link

[R] Puzzled at lm() and time-series

On Sat, 21 Aug 2004, Ajay Shah wrote:
> I tried toy problems and there doesn't seem to be a basic problem
> between lm() and ts objects:
> 
>    X = data.frame(x=c(1,2,7,9), y=c(7,2,3,1))
>    lm(y ~ x, X)
>    X <- lapply(X, function(x) ts(x, frequency=12, start=c(1994,7)))
>    lm(y ~ x, X)
> 
> and this works fine - whether you do an lm() before or after making ts
> objects, it's okay. 
> 
> But I have a situation where things aren't okay. I have two happy
> time-series objects in a data frame:
> 
> > M$g.cpi.iw
>        Jan   Feb   Mar   Apr   May   Jun   Jul   Aug   Sep   Oct   Nov  
Dec
> 1994                                     11.07 10.94 11.20 10.31  9.81 
9.47
> 1995  9.89  9.81  9.74  9.67 10.29 10.47 11.39 10.92 10.07 10.38 10.31 
9.69
> ... (deleted)
> 2004  4.35  4.13  3.49  2.23  2.83  3.02    NA
> 
> > M$g.wpi
>        Jan   Feb   Mar   Apr   May   Jun   Jul   Aug   Sep   Oct   Nov  
Dec
> 1994                                     11.14 11.83 11.88 12.66 13.20
14.54
> 1995 16.18 16.88 16.88 11.02 10.94  9.70  9.61  8.94  8.92  8.47  8.24 
6.62
> ... (deleted)
> 2004  6.45  6.14  4.79  4.52  4.99  6.14  6.86
> 
> But I can't get an OLS going:
> 
> > lm(g.cpi.iw ~ g.wpi, M)
> Error in "storage.mode<-"(`*tmp*`, value = "double")
:
>         invalid time series parameters specified
> 
> Any idea why? I think both objects are quite conformable (except for
> an NA, but that should get dropped by lm() by default).
That's the problem: the row with a NA gets dropped but the tsp atribute
does not get adjusted.

BTW, try traceback() when you get an error.

lm(g.cpi.iw ~ g.wpi, data = na.omit(M))

will work, since an explicit call to na.omit does the right thing re 
attributes.  The difference is in the internal code which says

	/* need to transfer _all but dim_ attributes, possibly lost
	   by subsetting in na.action.  */
	for ( i = length(ans) ; i-- ; )
	  	copyMostAttrib(VECTOR_ELT(data, i),VECTOR_ELT(ans, i));

That's wrong in this case.

I think it was a leap to assume that you could fit linear models to time 
series via lm.  ts objects are not mentioned on the help page for lm, are 
they?  Another trap is to assume that diff() will be respected by lm.

-- 
Brian D. Ripley,                  ripley at stats.ox.ac.uk
Professor of Applied Statistics,  http://www.stats.ox.ac.uk/~ripley/
University of Oxford,             Tel:  +44 1865 272861 (self)
1 South Parks Road,                     +44 1865 272866 (PA)
Oxford OX1 3TG, UK                Fax:  +44 1865 272595

ronggui wong

2004-Aug-24 05:59 UTC

head link

[R] do linux-version r has gui?

it seems only has command line interface,is not it?
and i only have konqure as my browser, when i use help.start(),the help file 
does not appear.so waht should i do as to make it work ?

thank you!

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