Pallavi Naresh wrote: > I am new to R and new to time series modeling. > > I have a set of variables (var1, var2, var3, var4, var5) for which I have > historical yearly data. > I am trying to use this data to produce a prediction of var1, 3 years into > the future. > > I have a few basic questions: > > 1) I am able to read in my data, and convert it to a time series format > using 'ts.' > > data_ts <- ts(data, start = 1988, end = 2005, frequency = 1, deltat = 1) > > However, I am not able to refer to the individual columns or variables of my > new time series object. For example, I am able to reference 'var1' by > typing, data$var1, but I can not do the same by using data_ts$var1. I don't > see how I can use data_ts without being able to reference the individual > columns in my dataset.
So you have a multiple time series. Type class(data_ts) to see. This is a matrix, not a data.frame so you need: data_ts[,"var1"] in place of data_ts$var1 > > 2) Since I'm trying to build a multivariate time series model, I want to > find the correlations of var1 with my other variables (var1, var2, ...etc.) > and their lagged values. > > But since I'm trying to produce a forecast for 3 years into the future, I > want to find the ccf between var1 and my other variables lagged 3 years. I > tried doing: > > ccf(var1, lag(var2, 3)) Try ccf( data_ts[,"var1"], data_ts[,"var2"]) > > but I get the following error: > > Error in na.fail.default(ts.union(as.ts(x), as.ts(y))) : > missing values in object So if you have missing values in the object try: ccf( data_ts[,"var1"], data_ts[,"var2"], na.action=na.pass) > > Does anyone know how to use the lag funciton and ccf together? Is it necessary? Kjetil > > 3) Suppose var1 and var2 are both of length 20. > I would expect the correlation of the fourth lag of ccf(var1, var2) to be > the same as lag zero of: > ccf(var1[1:17], var2[4:20]), but they are not. Can someone explain why not? > > > 4) How do I interpret the negative lags produced from the ccf function? > > [[alternative HTML version deleted]] > > ______________________________________________ > 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 > ______________________________________________ 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