Sir, I have large data sets of economic indicators and would like to align them to a reference series - say the unemployment rate or industrial production.
Is there a canned routine that returns the optimal lead / lag according to some (or a variety) of algorithims? not all series will be of the same length, however i would like to constrain the matching such that each element in the reference series matches to only one element in the comparison series. I do not mind if some data extend forward (in the case of series that lead the reference series), or back (in the case of laggers or series that are longer than the reference series). As a toy example, say my data set is constructed as follows: Index <- seq(0, 2*pi, length=100) With the reference series: S1 <- sin(index) And the series that i want to align to S1 are: S2 <- 2(cos(index) + runif(10)/100) S3 <- 0.5(sin(index +pi/4) + runif(10)/100) S4 <- sin(index + pi/3) + runif(10)/100 S4[1:25] <- NA In this case, I am looking for a function that tells me by how many periods i ought to advance the three series (S2, S3 and S4) to maximise their relationship with S1 - though it is not always the case that the reference series will lead. Thanks and best regards mj ______________________________________________ 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.
