On Apr 11, 2005 8:18 PM, Fernando Saldanha <[EMAIL PROTECTED]> wrote: > 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?
b <- ts(diff(a)) should be b <- diff(a) By applying ts to diff(a) you are resetting the time. ______________________________________________ [email protected] mailing list https://stat.ethz.ch/mailman/listinfo/r-help PLEASE do read the posting guide! http://www.R-project.org/posting-guide.html
