Re: [R] Time series misalignment

From: Achim Zeileis <Achim.Zeileis_at_wu-wien.ac.at>
Date: Wed 13 Apr 2005 - 07:58:34 EST

Fernando:

> 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.

BTW: the `tseries' package is not involved here.

> As the example
> below shows, the time series can get misaligned, so that bad results
> are obtained when doing regressions.

lm() per se has only very limited support for time series regression. Therefore, there are currently several tools under development for addressing this issue. In particular, Gabor Grothendieck and myself are working on different approaches to this problem.

<snip>

> To fix this problem I did the following:
>
> > tsf <- ts.intersect(y1, x1, z1)
>
> Now I can do:
>
> > lm1 <- lm(tsf[,3] ~ tsf[,2])

It is probably simpler to just do
  lm1 <- lm(z1 ~ x1, data = tsf)

Another approach is implemented in the zoo package. This implements an formula dispatch and you can do
  lm1 <- lm(I(z1 ~ x1))
*without* computing tsf first.

Depending on what you want to do with the fitted models, one of the two approaches might be easier, currently. In particular, if you want to fit and compare several models, then I would compute the intersection first and fit all models of interest on this data set.

Furthermore, note that the dispatch implementation via I() in zoo is still under development and likely to change in future versions. (But this mainly means that improved implementations will become available soon, stay tuned :-)
Z



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