From: Gabor Grothendieck <ggrothendieck_at_myway.com>

Date: Sun 06 Mar 2005 - 04:24:53 EST

R-help@stat.math.ethz.ch mailing list

https://stat.ethz.ch/mailman/listinfo/r-help PLEASE do read the posting guide! http://www.R-project.org/posting-guide.html Received on Sun Mar 06 04:57:17 2005

Date: Sun 06 Mar 2005 - 04:24:53 EST

Dirk Eddelbuettel <edd <at> debian.org> writes:

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*

> Spencer,

*>
**> You may want to peruse the list archive for posts that match 'ts' and are
**> written by Brian Ripley -- these issues have come up before.
**>
**> The ts class is designed for arima and friends (like Kalman filtering), and
**> very useful in that context, but possibly not so much anywhere else. lag()
**> only shifts the _reference dates_ attached to the object. So in a data.frame
**> context (as for lm()) .... nothing happens.
**>
**> Personally, I use its as my main container for daily or weekly data. There is
**> also zoo, which I have meant to examine more closely for a while now.
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Here is the example redone using zoo:

R> # here it is redone using zoo objects R> R> # following 3 lines are from the original post R> set.seed(1) R> x <- rep(c(rep(0, 4), 9), len=9) R> y <- (rep(c(rep(0, 5), 9), len=9)+rnorm(9)) # y[t] = x[t-1]+e R> R> library(zoo) R> R> yz <- zoo(y); xz <- zoo(x) R> lm(I(yz ~ xz))

Call:

lm(formula = I(yz ~ xz))

Coefficients:

(Intercept) xz 1.2872 -0.1064

R> lm(I(yz ~ lag(xz, -1)))

Call:

lm(formula = I(yz ~ lag(xz, -1)))

Coefficients:

(Intercept) lag(xz, -1)

0.4392 0.8600

R> R> z <- merge(yz, xz) R> arima(coredata(z[,1]), order = c(1,1,1), xreg = coredata(z[,2]))

Call:

arima(x = coredata(z[, 1]), order = c(1, 1, 1), xreg = coredata(z[, 2]))

Coefficients:

ar1 ma1 coredata(z[, 2]) 0.3906 -1.0000 -0.3803 s.e. 0.4890 0.4119 0.3753

sigma^2 estimated as 7.565: log likelihood = -20.2, aic = 48.4

R> zz <- merge(yz, lag(xz, -1))

R> arima(coredata(zz[,1]), order = c(1,1,1), xreg = coredata(zz[,2]))

Call:

arima(x = coredata(zz[, 1]), order = c(1, 1, 1), xreg = coredata(zz[, 2]))

Coefficients:

ar1 ma1 coredata(zz[, 2]) -0.2991 -0.8252 0.8537 s.e. 0.4516 1.0009 0.0838

sigma^2 estimated as 0.444: log likelihood = -7.9, aic = 23.8

R-help@stat.math.ethz.ch mailing list

https://stat.ethz.ch/mailman/listinfo/r-help PLEASE do read the posting guide! http://www.R-project.org/posting-guide.html Received on Sun Mar 06 04:57:17 2005

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