search for: lag

Is it possible to fit a lagged regression, "y[t]=b0+b1*x[t-1]+e", using the function "lag"? If so, how? If not, of what use is the function "lag"? I get the same answer from y~x as y~lag(x), whether using lm or arima. I found it using y~c(NA, x[-length(x)])). Consider the following: &...

Hi folks! How do I extract lags from a formula? An example: mod.eq<-formula(x~lag(x,-1)+lag(x,-2)) > mod.eq x ~ lag(x, -1) + lag(x, -2) > mod.eq[1] "~"() > mod.eq[2] x() > mod.eq[3] lag(x, -1) + lag(x, -2)() I'm trying to extract the lags into a vector that would be simply [1,2]. How...

Dear useRs, I want to write a function that generates all the possible combinations of diff(). Example: If my vector has length 5, I need the diff() until lag=4 -> c(diff(my.vec), diff(my.vec, lag=2), diff(my.vec, lag=3), diff(my.vec, lag=4)) If it has length 4, I need until lag=3 -> c(diff(my.vec), diff(my.vec, lag=2), diff(my.vec, lag=3)) So, it must be until lag=(length(my.vec)-1). The function I've written is: dif <- function(my.vec)...

Hello all, I need to figure out a way to lag a variable in by a number of days without using the zoo package. I need to use a remote R connection that doesn't have the zoo package installed and is unwilling to do so. So that is, I want a function where I can specify the number of days to lag a variable against a Date formatted column. Tha...

lag is a very confusing function i try to plot lag(x,-h) and y , the results are the same figures for all the h lags. then i saw online people use lag(x,-h) as xreg in arima that won't work in my eyes if lag function is consistent, isnce it returns the same value for all the lags i don't know i...

...hat I just can't figure out. I am using the plm package to conduct a panel analysis - although I am not sure if the problem is arising as a result of the plm package or something more general. I am trying to run a fixed effects model with effects over time and individual. The model has various lags, and the problem is that these lags do not seem to always be taken into account when the plm model is calculated (i.e no coefficients are calculated for some of the lagged regressors when >summary(plm.object) is called). I have used exactly the same ".txt" file before, with exactly t...

Hello! I have a data set: set.seed(123) y<-data.frame(week=seq(as.Date("2010-01-03"), as.Date("2011-01-31"),by="week")) y$var1<-c(1,2,3,round(rnorm(54),1)) y$var2<-c(10,20,30,round(rnorm(54),1)) # All I need is to create lagged variables for var1 and var2. I looked around a bit and found several ways of doing it. They all seem quite complicated - while in SPSS it's just a few letters (like LAG()). Here is what I've written but I wonder. It works - but maybe there is a very simple way of doing it in R that I cou...

Hello! I have a data frame A (below) with a grouping factor (group). I take my DV and create the new, lagged DV by applying the function lag.it (below). It works fine. A <- data.frame(year=rep(c(1980:1984),3), group= factor(sort(rep(1:3,5))), DV=c(rnorm(15))) lag.it <- function(x) { DV <- ts(x$DV, start = x$year[1]) idx <- seq(length = length(DV)) DVs <- cbind(DV, lag(DV, -1))[idx...

Hi, I'm struggling to understand the documentation. ?lag.zoo x - a "zoo" object. k, lag - the number of lags (in units of observations). Note the sign of k behaves as in lag. differences - an integer indicating the order of the difference. What does the above line actually mean? I've tried a few settings on sample data but can't f...

Hi there! Today I tried to estimate models using both plm and pgmm functions, with an interaction between X1 and lag(X2, 1). And I notice two issues. Let "Y=b_1 * X_1 + b_2 * X_2 + b_3 * X_1 * x_2 + e" be our model. 1) When using plm, I got different results when I coded the interaction term with I(X1 * lag(X2, 1)) and when I just saved this multiplication X1 * lag(X2, 1) in a different variable of th...

Hi, I'm trying to plot several lag.plots on a page, however the second plot replaces the first one (although it only takes up the upper half as it should): par(mfrow=c(2,1)) a<-sin(1:100) b<-cos(1:100) lag.plot(a) lag.plot(b) What's the trick to this? I'm using R 2.2.1 (2005-12-20 r36812) on Ubuntu Linux. Thanks,...

Hello, I am looking for some help with this question: how could I test structural breaks in a instrumental variables´s model? For example, I was trying to do something with my model with three time series. tax_ivreg <- ivreg(l_y ~ l_x2 + l_x1+ dl_y | lag(l_x2, -1)+lag(l_x2, -2)+ lag(l_x1, -1)+lag(l_x1, -2)+lag(l_y, -1)+lag(l_y, -2), data=tax1) summary(tax_ivreg) ## after estimating it, something weird happened with the several tests in package "strucchange". For example: cusum <- efp(l_y ~ l_x2 + l_x1+ dl_y | lag(l_x2, -1)+lag(l_x2,...

...able(xtabs(~agemF + votcat + Type , data=work),margin=2))*100,1) Type Voiced Voiceless unaspirated Voiceless aspirated agemF votcat 18 - 24 Prevoiced 2.6 8.7 2.3 Short lag 5.8 6.7 5.1 Long lag 1.0 1.9 2.9 24 - 30 Prevoiced 15.1 10.5 1.7 Short lag 9.2 15.3 5.8 Long lag...

...I permit to send you some whishes/suggestions for R. which.min like which(), which.min() should also include an argument arr.ind. Note that one can have it with which(a==min(a), arr.ind=TRUE) but if there is a reason to build a special function which.min, why not add also this nice argument? lag() If one wants to construct a time series model, it is often useful to have the lags matrix. This is available with embed(ts,k) but the time series class disappears. So it would be nice that the argument k of lag() also admit values of length >1, which would give the same result as embed() b...

...urces on the internet and have come up with contrasting explanations (mainly because these info deal with different program languages, like SAS, SPSS, etc). I know that my residuals should appropriate white noise( is random) since a check of its ACF shows it to be so (signifant correlation only at lag 1, decays very quickly to zero). But I am not sure how to interpret the ljung-box result given by R. To check for randomness of residuals, should the p-value be small or large? How small and how large? And at what lags should I check for the randomness of the residuals? Is a p-value > 0.05 (or...

Hello, I am a new R user. I am trying to use the arima command, but I have a question on intermediate lags. I want to run in R the equivalent Stata command of ARIMA d.yyy, AR(5) MA(5 7). This would tell the program I am interested in AR lag 5, MA lag 5, and MA lag 7, all while skipping the intermediate lags of AR 1-4, and MA 1-4, 6. Is there any way to do this in R? Thank you. -- View this message...

...ter)). I've run the Augmented-Dickey-Fuller Test below (R's URCA package). It gives me an error that it cannot find the function ur.df unless I comment out the third last line of code (see below). I try to call the function via the following: test <- ur.df(y, type = "none", lags = 1) Am I doing this correctly? When I then type in test() it comes back with Error: could not find function "test" When I type in a <- summary(test) It comes back with > a Length Class Mode 1 character character I just want it to provide summary s...

Hello guys .. I would like to have some help about as.table . I made a table with the autocorrelations of the returns whit 10 lags and i get this : autocorrelazione2 <- as.table(c((cor(r2[-1151,],lag(r2))),(cor(r2[- c(1151,1150),],lag(r2, k=2))),(cor(r2[- c(1151,1150,1149),],lag(r2, k=3))),(cor(r2[- c(1151,1150,1149,1148),],lag(r2, k=4))),(cor(r2[- c(1151,1150,1149,1148,1147),],lag(r2, k=5))),(cor(r2[- c(1151,1150,1149,11...

...e if someone can point out what I am doing wrong with this part, or somewhere else that I am coding wrong. Thanks, Full code: ########### TableAP <- read.csv("AnnualPanel.csv") TableAP <- data.frame(TableAP) TableAP nrow (TableAP) install.packages("zoo") require(zoo) Lagpolity4AP1 <- lag(zoo(TableAP$polity4), -1) Lagpolity4AP2 <- lag(zoo(TableAP$polity4), -2) Lagpolity4AP3 <- lag(zoo(TableAP$polity4), -3) Lagpolity4AP4 <- lag(zoo(TableAP$polity4), -4) Lagpolity4AP5 <- lag(zoo(TableAP$polity4), -5) LaglrgdpchAP1 <- lag(zoo(TableAP$lrgdpch), -1) Lag...

Hi, is there any function in R that shifts elements of a vector to the opposite direction of what Lag() of the Hmisc package does? (something like, Lag(x, shift = -1) ) Thanks Zava -------------------------------------------------------- This is not an offer (or solicitation of an offer) to buy/se...{{dropped}}