When I remake those variables and try ccf(do1,dr1), the plot appears
reasonable. What problem were you experiencing? It looks as though
your method of differencing (whatever it was) offset the date
registration of the zoo series in dr2, but ccf(do1, dr2) still does
not appear to choke on that input.
--
David
On Apr 21, 2009, at 4:06 PM, manta wrote:
DW: Modifications of that output to reconstruct the series:
do1 <- structure(c(0.0800000000000018, 0.009999999999998,
0.170000000000002,
-0.0300000000000011, 0, 0.629999999999999, -0.319999999999997,
-0.430000000000003, -0.469999999999999, -0.359999999999999), index =
structure(c(9497,
9498, 9499, 9500, 9503, 9504, 9505, 9506, 9507, 9510), class =
"Date"),
class = "zoo");
dr1 <- structure(c(0.000581439553993701, -0.00237250002417344,
-0.00728359151384361,
0.00745364483017663, -0.000700422111259091, -0.00100249660582796,
0.00198943708754806, 0.000342959230417050, -0.00113732213621109,
-0.00205039624417003), index = structure(c(9497, 9498, 9499,
9500, 9503, 9504, 9505, 9506, 9507, 9510), class = "Date"), class =
"zoo");
dr2 <- structure(c(-0.00295393957816714, -0.00491109148967017,
0.0147372363440202,
-0.00815406694143572, -0.000302074494568871, 0.00299193369337603,
-0.00164647785713101, -0.00148028136662814, -0.000913074107958933,
-0.00247839573899256), index = structure(c(9498, 9499, 9500,
9503, 9504, 9505, 9506, 9507, 9510, 9511), class = "Date"), class =
"zoo")
total number of observations is 3393 for the original data set (i.e.
for do1
is 3392, for do2 is 3391 and so on)
David Winsemius wrote:
We still have an inadequate characterization of the data to answe the
question ( as I remember it from yesterday). Missing, for example, is
any information about lengths which would seem essential since (as I
remember) you wantted to know why the result was so short. Why not
put
in a full working example with an extract of the data. Suggest you
try
using dput as a method of creating a working example. That way we
(and
the R interpreter) would get labels and class information.
--
David Winsemius
On Apr 21, 2009, at 10:56 AM, manta wrote:
Sorry, my bad, i did not mean to 'be mean'.
Here are the first five observations for three variables (dr1, dr2
and doil)
dr1
1996-01-02 1996-01-03 1996-01-04 1996-01-05 1996-01-08
0.0005814396 -0.0023725000 -0.0072835915 0.0074536448 -0.0007004221
dr2
1996-01-03 1996-01-04 1996-01-05 1996-01-08 1996-01-09
-0.0029539396 -0.0049110915 0.0147372363 -0.0081540669
-0.0003020745
do1
1996-01-02 1996-01-03 1996-01-04 1996-01-05 1996-01-08
0.08 0.01 0.17 -0.03 0.00
As you can see, dr2 is nothing but the 1st difference of dr1. In my
case,
I'm trying to find out the cross-correlation between the two
variables do1
and dr1 up to their 10th lag (i.e. do1 with do2, do3, ...,
do10,dr1,dr2,...,dr10, and the same for dr1).
Hope it helps,
Marco
In response to "??"
David Winsemius wrote:
Are you trying to imply that people should be able to answer a
question that included no data? As others have pointed out, our
powers of telepathy are generally less than commonly assumed.
David Winsemius, MD
Heritage Laboratories
West Hartford, CT
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