Re: [R] Time series misalignment

From: Fernando Saldanha <fsaldan1_at_gmail.com>
Date: Wed 13 Apr 2005 - 08:47:21 EST

Can one also predetermine a set and then estimate all the models one wants to compare using the zoo package? Or can that be done only with the tseries package?

Thanks.

FS

On 4/12/05, Achim Zeileis <Achim.Zeileis@wu-wien.ac.at> wrote:
> 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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