Dear R-users, I've been using R for a while and I am very satisfied! Unfortunately, I still have not figured out an efficient and general way to construct and use lags of time series, especially when I need to work with different packages. Let me give an example. I have two time series x and y and I want to estimate a variaty of distributed lags models and run different tests (autocorrelation, etc). It is obvious that I need to be able to lag x and y in a flexible way. So far, my temporary solution was to construct the lags manually (x1,..,xn and y1,..,yn) in a spreadsheet and import it to R, which is not very satisfactory because it does not allow for much flexibility. Is there a straighforward command which allows me to easily construct a lag when required and which allows me to, for example, use the lm() command to fit a dynamic model and the bgtest() command to perform the breusch-godfrey test on the same model? Is it adviseable to use time series objects which consist of many time series (like a dataframe) or is it better to have it contain only one time series? I would be grateful for any hints and links. Thx! Christian
On Sun, Dec 26, 2010 at 8:49 AM, Christian Schoder <schoc152 at newschool.edu> wrote:> Dear R-users, > > I've been using R for a while and I am very satisfied! Unfortunately, I > still have not figured out an efficient and general way to construct and > use lags of time series, especially when I need to work with different > packages. > > Let me give an example. I have two time series x and y and I want to > estimate a variaty of distributed lags models and run different tests > (autocorrelation, etc). It is obvious that I need to be able to lag x > and y in a flexible way. So far, my temporary solution was to construct > the lags manually (x1,..,xn and y1,..,yn) in a spreadsheet and import it > to R, which is not very satisfactory because it does not allow for much > flexibility. > > Is there a straighforward command which allows me to easily construct a > lag >Perhaps ?diff. Liviu> when required and which allows me to, for example, use the lm() > command to fit a dynamic model and the bgtest() command to perform the > breusch-godfrey test on the same model? > > Is it adviseable to use time series objects which consist of many time > series (like a dataframe) or is it better to have it contain only one > time series? > > I would be grateful for any hints and links. > > Thx! > Christian > > ______________________________________________ > 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. >-- Do you know how to read? http://www.alienetworks.com/srtest.cfm http://goodies.xfce.org/projects/applications/xfce4-dict#speed-reader Do you know how to write? http://garbl.home.comcast.net/~garbl/stylemanual/e.htm#e-mail
First off, there are data manipulation techniques that will beat doing it in a spreadsheet. For example: head(x, -1) is lagged 1 relative to tail(x, -1) But I think you are really looking for 'Lag' in the 'quantmod' package. On 26/12/2010 07:49, Christian Schoder wrote:> Dear R-users, > > I've been using R for a while and I am very satisfied! Unfortunately, I > still have not figured out an efficient and general way to construct and > use lags of time series, especially when I need to work with different > packages. > > Let me give an example. I have two time series x and y and I want to > estimate a variaty of distributed lags models and run different tests > (autocorrelation, etc). It is obvious that I need to be able to lag x > and y in a flexible way. So far, my temporary solution was to construct > the lags manually (x1,..,xn and y1,..,yn) in a spreadsheet and import it > to R, which is not very satisfactory because it does not allow for much > flexibility. > > Is there a straighforward command which allows me to easily construct a > lag when required and which allows me to, for example, use the lm() > command to fit a dynamic model and the bgtest() command to perform the > breusch-godfrey test on the same model? > > Is it adviseable to use time series objects which consist of many time > series (like a dataframe) or is it better to have it contain only one > time series? > > I would be grateful for any hints and links. > > Thx! > Christian > > ______________________________________________ > 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. >-- Patrick Burns pburns at pburns.seanet.com twitter: @portfolioprobe http://www.portfolioprobe.com/blog http://www.burns-stat.com (home of 'Some hints for the R beginner' and 'The R Inferno')