Re: [R] Reg: Frequency in declaring time series data

[Rui Barradas]

Às 20:52 de 16/01/2023, Upananda Pani escreveu:
Hi Rui,
Thank you so much for your help. As I have to fit a Markov Switching Model
using  MSwM package.

May I know whether i can convert from zoo object to a time series object.

As I have to use several packages which uses ts so I am not able to decide
how to do it.

Grateful to you for your help and support.

With sincere regards,
Upananda

On Tue, 17 Jan, 2023, 01:40 Rui Barradas, <ruipbarra...@sapo.pt> wrote:

Às 16:39 de 16/01/2023, Upananda Pani escreveu:
Dear All,

I have a time series daily data with date are stored ( %dd-%mm-%yy
format )
from 22-01-20 to 03-08-21. In total I have 560 observations. I am using
the
following command to declare as a time series object. Here the the data
set
is 7 days a week.
oil <- read_xlsx("crudefinal.xlsx")
pricet=ts(oil$price, start = c(2020, 22), freq = 365)
roilt=ts(diff(log(oil$price))*100,start=c(2020,22), freq=365)

Shall I have to declare the dates here?  I want to know also if it is a 5
day trading a week, how to declare the frequency.

Looking forward to your reply

Regards,
Upananda Pani

Looking forward to your suggestions.

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Hello,

Package zoo is the best way of having dates in a time series. The
package comes with several vignettes that can get you started quickly.
See the difference between classes ts and zoo below.

# make up some test data
oil <- data.frame(price = cumsum(rnorm(560)))
oil$date <- seq(as.Date("2020-01-22"), by = "1 day", length.out = 560)

# base R
pricet <- ts(oil$price, start = c(2020, 22), freq = 365)
time(pricet)
index(pricet)
plot(pricet)

#---

library(zoo)
library(ggplot2)

pricez <- zoo(oil$price, order.by = oil$date)
time(pricez)
index(pricez)
autoplot(pricez)

vignette(package = "zoo")


Hope this helps,

Rui Barradas




Hello,

Please always cc the R-Help list.

I have no experience with package MSwM but according to the

vignette("example", package = "MSwM")

you first fit a regression model, say 'mod', and then fit an 
Autoregressive Markov Switching Model to mod. You don't need a time 
series, only a regression fit.

Hope this helps,

Rui Barradas

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