[R] Help with Sequential Differencing

Lekgatlhamang, lexi Setlhare
Fri, 15 Jun 2012 09:39:21 -0000

Dear R Users,

I have struggled with the following problem for days, which I thought was
simple, although it would likely be basic to most of you.
I am working with time series data.
In my script, my intention is to create first differences of the variables in
the file so that I end up estimating an equation of the form:
DCred(t) =c +
DCred(t-1)+DCred(t-2)+...+DBoB(t)+DBoB(t-1)+DBoB(t-2)+...+Drvr(t)+Drvr(t-1)+Drvr(t-2)+...+e(t)

Where D at the beginning of each variable represents 'change', for first
difference and e(t) is the error term.
Now I am trying to use loops to calculate 5 lagged first-differences of each
variable in the dataset - e.g., DCred(t-1), DCred(t-2), ..., DCred(t-5).
Example:
# Differences of Cred
DCred<- diff(Cred, difference=1)
DCred
for(i in 1:5){
print(DCred[i]<- diff(DCred, lag=i, difference=1))
}
After I calculated the contemporaneous first difference DCred, this loop is
meant to compute the subsequent first differences of the same variable; i.e.,
DCred(t-1) and call it DCred1, DCred(t-2) and call it DCred2, ... and DCred(t-5)
and call it DCred5.
The loop works, at least I think so. But now after the loop has executed, when I
type DCred1[1] (which I thought would give me the first value in the series for
DCred(t-1)), called DCred1, I get a message "object 'DCred1' not
found". Similarly typing Dcred1[2] (which I thought would give the second
value of DCred(t-1)), ie., the second value of DCred1, gives "object
DCred1[2] not found", etc.
A copy of the commands and error messages is below:
> DCred1[1]
Error: object 'DCred1' not found
> DCred1[2]
Error: object 'DCred1' not found

How can I solve this problem? Thank you kindly for your time.
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