On 2010-06-30 14:32, Manussawee Sukunta wrote:
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.
It looks like series is a dataframe with your dates
as rownames. If you want series.d (a matrix) to have
the same rownames:
rownames(series.d) <- rownames(series)
But I'm not sure how much sense that makes, especially
for columns 3 and 4.
-Peter Ehlers
Thank you,
Manussawee
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