On Wed, Jun 30, 2010 at 4:32 PM, Manussawee Sukunta <msuku...@illinoisalumni.org> 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. >
Cannot tell exactly what you are doing without reproducible data and code but you should be able to do it with zoo or xts. Try this as an example: > Lines <- "Date 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" > > library(zoo) > > # z <- read.zoo("myfile.txt", header = TRUE) > z <- read.zoo(textConnection(Lines), header = TRUE) > z 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 > diff(z) PX_SETTLE PX_SETTLE.1 2009-01-05 25.5 2.00 2009-01-06 63.0 3.00 2009-01-07 -133.0 -25.25 2009-01-08 4.0 1.50 2009-01-09 -44.0 -21.25 2009-01-12 -28.5 -17.50 2009-01-13 -58.5 0.50 2009-01-14 -213.0 -28.75 2009-01-15 -60.0 -0.50 2009-01-16 59.0 9.25 2009-01-20 -97.5 -42.50 2009-01-21 -14.0 30.75 2009-01-22 -7.0 -11.25 2009-01-23 -13.0 -2.00 ______________________________________________ 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.