[R] Time series misalignment

From: Fernando Saldanha <fsaldan1_at_gmail.com>
Date: Wed 13 Apr 2005 - 06:53:53 EST


This maybe a basic question, but I have spent several hours researching and I could not get an answer, so please bear with me. The problem is with time series in the package tseries. As the example below shows, the time series can get misaligned, so that bad results are obtained when doing regressions. I found a way to do this correctly, but I find it rather cumbersome. My question is: is there a better way to do it?

Thanks for any help.

Suppose I define:

> y1<-ts(c(1,2,3,5,7))
> x1<-diff(y1)
> z1<-ts(c(1,1,2,2))

Then I get:

> x1

Time Series:
Start = 2
End = 5
Frequency = 1
[1] 1 1 2 2

> z1

Time Series:
Start = 1
End = 4
Frequency = 1
[1] 1 1 2 2

Notice that the Start values for x1 and z1 are different.

However, if I regress z1 on z1 I get:

> reg1 <- lm(z1 ~ x1, na.action = NULL)
> reg1

Call:
lm(formula = z1 ~ x1, na.action = NULL)

Coefficients:

(Intercept)           x1  
          0            1  
          

But this is the wrong answer. The time series z1 and x1 are misaligned. lm is ignoring the fact that Start = 2 for x1 and Start = 1 for z1.

To fix this problem I did the following:

> tsf <- ts.intersect(y1, x1, z1)
> tsf

Time Series:
Start = 2
End = 4
Frequency = 1
  y1 x1 z1
2 2 1 1
3 3 1 2
4 5 2 2

These versions of z1 and x1 are correctly aligned.

Now I can do:

> lm1 <- lm(tsf[,3] ~ tsf[,2])
> lm1

Call:
lm(formula = tsf[, 3] ~ tsf[, 2])

Coefficients:

(Intercept)     tsf[, 2]  
        1.0          0.5 
        

This is the correct answer. However, it is rather cumbersome to refer to the aligned variables as columns of the time series object tsf.

As an observation, I also called ts.intersect with the option dframe = t and got exactly the same results.

So my question is: is there a less cumbersome way to keep these time series aligned?

Thanks again for any help.



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https://stat.ethz.ch/mailman/listinfo/r-help PLEASE do read the posting guide! http://www.R-project.org/posting-guide.html Received on Wed Apr 13 07:03:15 2005

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