Hi Achim,
My point was that tsbox (apparently) provides tools to convert zoo -->
ts which should help the OP.
On Sun, May 1, 2022 at 5:56 PM Achim Zeileis <Achim.Zeileis at uibk.ac.at>
wrote:>
> On Sun, 1 May 2022, Eric Berger wrote:
>
> > Hi Naresh,
> > The tsbox package on CRAN -
> > cran.r-project.org/web/packages/tsbox/index.html - has the
> > following description:
> >
> > tsbox: Class-Agnostic Time Series
> >
> > Time series toolkit with identical behavior for all time series
> > classes: 'ts','xts', 'data.frame',
'data.table', 'tibble', 'zoo',
> > 'timeSeries', 'tsibble', 'tis' or
'irts'. Also converts reliably
> > between these classes.
> >
> > Hopefully this will provide you the necessary tools to solve your
problem.
>
> Not really because the code inside strucchange::efp does not use tsbox but
> just ts directly.
>
> Best,
> Achim
>
> > Good luck,
> > Eric
> >
> >
> >
> > On Sun, May 1, 2022 at 3:37 PM Naresh Gurbuxani
> > <naresh_gurbuxani at hotmail.com> wrote:
> >>
> >> I am trying to replicate empirical fluctuation process fit (efp)
described in the book "Applied Econometrics with R". This fit works
when data input is an object of class ts, but not when data input is object of
class zoo. I prefer to use zoo because it provides better housekeeping with
dates. Is it possible to achieve the fit with zoo?
> >>
> >> library(AER)
> >> library(strucchange)
> >>
> >> data(UKDriverDeaths)
> >> dd <- log(UKDriverDeaths)
> >> dd.z <- zoo(dd, order.by = as.yearmon(time(dd)))
> >> dd.z <- merge(dd = dd.z, dd.lag1 = lag(dd.z, k = -1),
> >> dd.lag12 = lag(dd.z, k = -12))
> >>
> >> # Does not work
> >> dd.ocus <- efp(dd ~ dd.lag1 + dd.lag12, data = na.trim(dd.z),
> >> type = "OLS-CUSUM")
> >> # Error message
> >> # Error in eval(attr(mt, "variables")[[2]], data, env) :
> >> # numeric 'envir' arg not of length one
> >>
> >> # Works
> >> dd.ocus <- efp(dd ~ dd.lag1 + dd.lag12, data =
ts(na.trim(dd.z)),
> >> type = "OLS-CUSUM")
> >>
> >> # But time stamps are lost
> >> plot(dd.ocus)
> >> # Time indexed from 0 to 180
> >>
> >> Thanks,
> >> Naresh
> >> ______________________________________________
> >> R-help at r-project.org mailing list -- To UNSUBSCRIBE and more,
see
> >> stat.ethz.ch/mailman/listinfo/r-help
> >> PLEASE do read the posting guide
R-project.org/posting-guide.html
> >> and provide commented, minimal, self-contained, reproducible code.
> >
> > ______________________________________________
> > R-help at r-project.org mailing list -- To UNSUBSCRIBE and more, see
> > stat.ethz.ch/mailman/listinfo/r-help
> > PLEASE do read the posting guide
R-project.org/posting-guide.html
> > and provide commented, minimal, self-contained, reproducible code.
> >