[R] Regression and time series

From: Fernando Saldanha <fsaldan1_at_gmail.com>
Date: Tue 12 Apr 2005 - 10:18:11 EST

Can someone shed some light on this obscure portion of the help for lm?

    "Considerable care is needed when using 'lm' with time series.

     Unless 'na.action = NULL', the time series attributes are stripped
     from the variables before the regression is done.  (This is
     necessary as omitting 'NA's would invalidate the time series
     attributes, and if 'NA's are omitted in the middle of the series
     the result would no longer be a regular time series.)

     Even if the time series attributes are retained, they are not used
     to line up series, so that the time shift of a lagged or
     differenced regressor would be ignored.  It is good practice to
     prepare a 'data' argument by 'ts.intersect(..., dframe = TRUE)',
     then apply a suitable 'na.action' to that data frame and call 'lm'
     with 'na.action = NULL' so that residuals and fitted values are
     time series."

I found that ts.intersect does not shorten a set of time series just because the series has NAs. It only shortens a set of time series to the length of the shortest time series (with NAs counting for the length calculation). That being the case, the utility of ts.inersect seems limited to me, unless I am missing something (which I probably am).

In particular, I am currently having to pad the beginning of a time series when I call diff. For example,

> a <- ts(c(1, 2, 4))
> b <- ts(c(NA, diff(a)))
> ab <- ts.intersect(a, b)
> Time Series:

   Start = 1
   End = 3
   Frequency = 1
  a b
1 1 NA
2 2 1
3 4 2

I was hoping that something like ts.intersect would spare me the trouble of explicitly padding b in the example above. However, if I don't pad b the time series get misaligned:

> a <- ts(c(1, 2, 4))
> b <- ts(diff(a))
> ab <- ts.intersect(a, b)

Time Series:
Start = 1
End = 2
Frequency = 1
  a b
1 1 1
2 2 2

Any comments, suggestions?


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