Thank you for all your help. After some sleep last night, I started fresh on the problem with a little clearer thinking. I thought over what Jonathan had said... and I just decided to bypass indexing my data after passing it through the embed function all together. I still was able to perform the error vector model regressions (I hope they were correct!) with no error. I was able to handchecked some of the calculations from the embed function (in "series.d"), and they seemed to make sense.
Again, thank you! Manussawee On Wed, Jun 30, 2010 at 4:48 PM, Gabor Grothendieck <ggrothendi...@gmail.com> wrote: > 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.