First off, there are data manipulation techniques that will beat doing it in a spreadsheet. For example:
head(x, -1) is lagged 1 relative to tail(x, -1) But I think you are really looking for 'Lag' in the 'quantmod' package. On 26/12/2010 07:49, Christian Schoder wrote:
Dear R-users, I've been using R for a while and I am very satisfied! Unfortunately, I still have not figured out an efficient and general way to construct and use lags of time series, especially when I need to work with different packages. Let me give an example. I have two time series x and y and I want to estimate a variaty of distributed lags models and run different tests (autocorrelation, etc). It is obvious that I need to be able to lag x and y in a flexible way. So far, my temporary solution was to construct the lags manually (x1,..,xn and y1,..,yn) in a spreadsheet and import it to R, which is not very satisfactory because it does not allow for much flexibility. Is there a straighforward command which allows me to easily construct a lag when required and which allows me to, for example, use the lm() command to fit a dynamic model and the bgtest() command to perform the breusch-godfrey test on the same model? Is it adviseable to use time series objects which consist of many time series (like a dataframe) or is it better to have it contain only one time series? I would be grateful for any hints and links. Thx! Christian ______________________________________________ R-help@r-project.org mailing list https://stat.ethz.ch/mailman/listinfo/r-help PLEASE do read the posting guide http://www.R-project.org/posting-guide.html and provide commented, minimal, self-contained, reproducible code.
-- Patrick Burns pbu...@pburns.seanet.com twitter: @portfolioprobe http://www.portfolioprobe.com/blog http://www.burns-stat.com (home of 'Some hints for the R beginner' and 'The R Inferno') ______________________________________________ R-help@r-project.org mailing list https://stat.ethz.ch/mailman/listinfo/r-help PLEASE do read the posting guide http://www.R-project.org/posting-guide.html and provide commented, minimal, self-contained, reproducible code.
