FITTING TRANSFER FUNCTIONS WITH LAGS: Consider the following toy example:
> dates <- paste(11:21, "/01/2005", sep="")
> Dates <- as.Date(dates, "%d/%m/%Y")
> set.seed(1)
> DF <- data.frame(date=Dates, y=rnorm(11), x=rnorm(11, 3))
> arima(DF$y, c(1,0,0), xreg=lag(DF$x, 1))
ar1 intercept lag(DF$x, 1)
-0.3876 -1.1328 0.4280
s.e. 0.3556 0.6417 0.1945
sigma^2 estimated as 0.3807: log likelihood = -10.38, aic = 28.76
> arima(DF$y, c(1,0,0), xreg=lag(DF$x, 2))
ar1 intercept lag(DF$x, 2)
-0.3876 -1.1328 0.4280
s.e. 0.3556 0.6417 0.1945
sigma^2 estimated as 0.3807: log likelihood = -10.38, aic = 28.76****I NAIVELY THOUGHT THAT "lag" WOULD DO SOMETHING HERE. Evidently, it didn't. ****The following seems to work:
> arima(DF$y, c(1,0,0), xreg=c(DF$x[-1], NA))
ar1 intercept c(DF$x[-1], NA)
-0.3943 -0.2155 0.1185
s.e. 0.3454 0.8024 0.2464
sigma^2 estimated as 0.4889: log likelihood = -10.7, aic = 29.39
> arima(DF$y, c(1,0,0), xreg=c(DF$x[-(1:2)], NA, NA))
ar1 intercept c(DF$x[-(1:2)], NA, NA)
-0.2385 -0.6430 0.2472
s.e. 0.3073 0.8592 0.2485
sigma^2 estimated as 0.491: log likelihood = -9.6, aic = 27.2Is there a better way?
ASSOCIATING A CALENDAR DATE WITH A 'ts' OBJECT
In the previous example, I'd like to convert x and y into "ts" objects, retaining "Dates". Is there a way to do this? The following did not work:
> ts(DF$y, start=Dates[1]) Error in Math.difftime((end - start) * frequency + 1.01) : floor not defined for difftime objects
Thanks,
spencer graves______________________________________________ R-help@stat.math.ethz.ch mailing list https://stat.ethz.ch/mailman/listinfo/r-help PLEASE do read the posting guide! http://www.R-project.org/posting-guide.html
