lag (PR#491)
On Fri, 17 Mar 2000 kthaka@uta.fi wrote:
Full_Name: Hannu Kahra Version: 1.0.0 OS: Windows Submission from: (NULL) (153.1.50.127) x1 <- lag(x, k=1) returns the original series x. The time series is not shiftet at all. Only the time is shiftet: for x1 new start = old start -1 and new end = old end -1. When I run, e.g. lm(x~x1) the result is not what
So that is _not_ the original series!
I expect. Both x and x1 are time series. Is this a bug or am I forgetting something?
Your description is exactly as documented:
Lag a Time Series
Description:
Computed a lagged version of a time series, shifting the time base
back by `k' observations.
[Please read the documentation before submitting a bug report. The FAQ
tells you what a bug is.]
Don't apply regression (a non-time-series technique) to time series, and
expect the implicit conversion to vectors to preserve the time alignment.
Do something like
library(ts)
data(lh)
df <- cbind(x=lh, x1 =lag(lh, 1))
lm(x ~ x1, data=df)
Brian D. Ripley, ripley@stats.ox.ac.uk Professor of Applied Statistics, http://www.stats.ox.ac.uk/~ripley/ University of Oxford, Tel: +44 1865 272861 (self) 1 South Parks Road, +44 1865 272860 (secr) Oxford OX1 3TG, UK Fax: +44 1865 272595 -.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.- r-devel mailing list -- Read http://www.ci.tuwien.ac.at/~hornik/R/R-FAQ.html Send "info", "help", or "[un]subscribe" (in the "body", not the subject !) To: r-devel-request@stat.math.ethz.ch _._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._