R help - Jan 2009 - How to analyse and model 2 time series, when one series needs to be differenced?

Hello.

How can I analyse the cross-correlation between two time series with ccf, if one
of the time series need to be differenced, so it is stationary?
The two time series differ when in length and maybe ccf produces not the correct
cross-correlation?!

Another problem:
How can I model the two time series as an VARI-process with the dse package? -
So how can I handle it, that one series has to be differenced and the other
series not?

I hope you can give me some hints.


Regards,
Andreas.

On Mon, 2009-01-26 at 08:52 +0000, Andreas Klein wrote:
> Hello.
> 
> How can I analyse the cross-correlation between two time series with ccf,
if one of the time series need to be differenced, so it is stationary?
> The two time series differ when in length and maybe ccf produces not the
correct cross-correlation?!
> 
> Another problem:
> How can I model the two time series as an VARI-process with the dse
package? -
> So how can I handle it, that one series has to be differenced and the other
series not?
> 
> I hope you can give me some hints.
> 
> 
> Regards,
> Andreas.
Hi Andreas,

If I understand your problem this script solve tour question

t<-1:15
x<-rnorm(10)
y<-.2-.3*t+rnorm(15)
y.dif<-diff(y,1)
ccf(x,y.dif)

-- 
Bernardo Rangel Tura, M.D,MPH,Ph.D
National Institute of Cardiology
Brazil