Hi, I'm having especially hard time today and couldn't find any clue/answer through the internet. I hope you can help.
I'm in a process of writing a script to estimate error correction model, and I was following an example in Bernhard Pfaff's Analysis of Integrated and Cointegrated Time Series with R. I have the following price data: > head(series,15) PX_SETTLE PX_SETTLE.1 2009-01-02 4515.0 925.50 2009-01-05 4540.5 927.50 2009-01-06 4603.5 930.50 2009-01-07 4470.5 905.25 2009-01-08 4474.5 906.75 2009-01-09 4430.5 885.50 2009-01-12 4402.0 868.00 2009-01-13 4343.5 868.50 2009-01-14 4130.5 839.75 2009-01-15 4070.5 839.25 2009-01-16 4129.5 848.50 2009-01-20 4032.0 806.00 2009-01-21 4018.0 836.75 2009-01-22 4011.0 825.50 2009-01-23 3998.0 823.50 Then I defined series.d = embed(diff(series),dim=2) which resulted in > head(series.d,15) [,1] [,2] [,3] [,4] [1,] 25.5 2.00 NA NA [2,] 63.0 3.00 25.5 2.00 [3,] -133.0 -25.25 63.0 3.00 [4,] 4.0 1.50 -133.0 -25.25 [5,] -44.0 -21.25 4.0 1.50 [6,] -28.5 -17.50 -44.0 -21.25 [7,] -58.5 0.50 -28.5 -17.50 [8,] -213.0 -28.75 -58.5 0.50 [9,] -60.0 -0.50 -213.0 -28.75 [10,] 59.0 9.25 -60.0 -0.50 [11,] -97.5 -42.50 59.0 9.25 [12,] -14.0 30.75 -97.5 -42.50 [13,] -7.0 -11.25 -14.0 30.75 [14,] -13.0 -2.00 -7.0 -11.25 [15,] 169.0 7.25 -13.0 -2.00 The new data series.d now has no date index. I'm not sure how to get it back. I tried to xts --> order.by = index(series), but the vector lengths are now not the same. I feel like the answer might be obvious, but I just can't see it. Again, I tried searching various forums and sites, but I couldn't find my answer. I feel like I'm just going around a circle. I hope someone can help me and shed some light on this problem. Thank you, Manussawee ______________________________________________ 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.