On Jan 31, 2008 8:24 AM, Matthieu Stigler <[EMAIL PROTECTED]> wrote:
> lag()
> If one wants to construct a time series model, it is often useful to
> have the lags matrix. This is available with embed(ts,k) but the time
> series class disappears. So it would be nice that the argument k of
> lag() also admit values of length >1, which would give the same result
> as embed() but keep the class. In his wish list of 1 January 2008 (point
> 8), Gabor Grothendieck spoke about a function Lag. Maybe also a function
> lags otherwise if the idea of length(k)>1 is not good?
It would be nice. Note that lag.zoo in the zoo package does supports this
for zoo objects.
> library(zoo)
> z <- zoo((11:20)^2)
> lag(z, 1:2)
lag1 lag2
1 144 169
2 169 196
3 196 225
4 225 256
5 256 289
6 289 324
7 324 361
8 361 400
9 400 NA
> # regress z on lag(z, 1:2) using dyn package
> library(dyn)
> dyn$lm(z ~ lag(z, 1:2))
Call:
lm(formula = dyn(z ~ lag(z, 1:2)))
Coefficients:
(Intercept) lag(z, 1:2)1 lag(z, 1:2)2
2 2 -1
# as a workaround one could convert to zoo and back
> x <- ts((11:20)^2)
> as.ts(lag(as.zoo(x), 1:2))
Time Series:
Start = 1
End = 9
Frequency = 1
lag1 lag2
1 144 169
2 169 196
3 196 225
4 225 256
5 256 289
6 289 324
7 324 361
8 361 400
9 400 NA
>
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