[R] lm and time series

From: Matthieu Cornec <matthieu.cornec_at_gmail.com>
Date: Sat 05 Mar 2005 - 00:10:50 EST


Hello,

I create a multivariate time series containing NA values (that could come directly from an imported file,)
I want to compute a linear regression and obtain a time serie for both residuals and fitted values. I have tried the trick ts.intersect, without success.

Could you help me out of this?
####

Example:

y<-ts(1:10+rnorm(10))
x<-ts(1:10)
datats<-cbind(y,lagx=lag(x))

Notice the datats could come directly from an imported file, that is why I did not use ts.intersect(y,lagx=lag(x))

fit<-lm(y~lagx,data=datats,na.action=na.omit)

but how do I get a time serie of residuals instead of a vector residuals(fit)?
######

Matthieu Cornec



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