Re: [Rd] [R] aggregate.ts

From: Jeffrey J. Hallman <jhallman_at_frb.gov>
Date: Thu, 26 Jul 2007 10:14:24 -0400

aggregate.tis() in the fame package does what I think is the right thing:

> x2 <- tis(1:24, start = c(2000, 11), freq = 12)
> y2 <- aggregate(x2, nfreq = 4)
> x2

     Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec
2000                                           1   2
2001   3   4   5   6   7   8   9  10  11  12  13  14
2002  15  16  17  18  19  20  21  22  23  24        
class: tis
> y2

     Qtr1 Qtr2 Qtr3 Qtr4
2001 12 21 30 39
2002 48 57 66
class: tis

If you really want y2 to have an observation for 2000Q4, you can use

> convert(x2, tif = "quarterly", observed = "summed", ignore = T)

          Qtr1      Qtr2      Qtr3      Qtr4
2000                                4.033333
2001 12.000000 21.000000 30.000000 39.000000 2002 48.000000 57.000000 66.000000 71.225806 class: tis

Paul Gilbert <pgilbert_at_bank-banque-canada.ca> writes:

> I've been caught by this before, and complained before. It does not do
> what most people that work with economic time series would expect. (One
> might argue that not all time series are economic, but other time series
> don't usually fit with ts very well.) At the very least aggregate
> should issue a warning. Quarterly observations are for quarters of the
> year, so just arbitrarily grouping in 3 beginning with the first
> observation is *extremely* misleading, even if it is documented.
>
> [ BTW, there is a bug in the print method here (R-2.5.1 on Linux) :
> > y2 <- aggregate(x2, nfreq = 4)
> >
> > y2
> Error in rep.int("", start.pad) : invalid number of copies in rep.int()
> > traceback()
> 5: rep.int("", start.pad)
> 4: as.vector(data)
> 3: matrix(c(rep.int("", start.pad), format(x, ...), rep.int("",
> end.pad)), nc = fr.x, byrow = TRUE, dimnames = list(dn1,
> dn2))
> 2: print.ts(c(6L, 15L, 24L, 33L, 42L, 51L, 60L, 69L))
> 1: print(c(6L, 15L, 24L, 33L, 42L, 51L, 60L, 69L))
> ]
>
> ....
>
> >Currently, the "zoo" implementation allows this: Coercing back and forth
> >gives:
> > library("zoo")
> > z1 <- as.ts(aggregate(as.zoo(x1), as.yearqtr, sum))
> > z2 <- as.ts(aggregate(as.zoo(x2), as.yearqtr, sum))
> >
> >
> This is better, but still potentially misleading. I would prefer a
> default NA when only some of the observations are available for a
> quarter (and the syntax is a bit cumbersome for something one needs to
> do fairly often).
>
> Paul
>
> >where z1 is identical to y1, and z2 is what you probably want.
> >
> >hth,
> >Z
> >
> >______________________________________________
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> >
> >
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-- 
Jeff

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Received on Thu 26 Jul 2007 - 14:58:05 GMT

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