ccf(x,y) vs. cor() of x and lagged values of y
Hi Mihnea, I'm afraid I don't have much time to look at this right now -- I'm sort of swamped for the next 5 days -- so I'm forwarding back to the list so more eyeballs pass over it. In general, you should always cc the list so the archives remain complete and so that you get a quicker response. Michael On Sun, Oct 14, 2012 at 2:02 PM, Mihnea Constantinescu
<mihnea.const at gmail.com> wrote:
Hi Michael Thank you for the reply. I forgot to mention that I cbind() after applying the lag() function and then ran the cor() on the new data object. I had noticed too that lag() passed inside of the cor() is useless. I'm getting somehow closer to troubleshooting the observed difference... Have a nice day Mihnea -----Original Message----- From: R. Michael Weylandt [mailto:michael.weylandt at gmail.com] Sent: Saturday, October 13, 2012 12:31 PM To: Mihnea Constantinescu Cc: r-help at r-project.org Subject: Re: [R] ccf(x,y) vs. cor() of x and lagged values of y On Fri, Oct 12, 2012 at 12:28 AM, Mihnea Constantinescu <mihnea.const at gmail.com> wrote:
Hi I'm computing the correlation between two time-series x_t and y_t-1 (time-series lagged using the lag(y,-1) function) using the cor() function and the returned value is different from the value of ccf() function at the same lag. Any ideas why this is so?
I'd bet that you'd also find that cor(x,y) = cor(x, lag(y,-1)) ? That's because the effect of "lagging" seems to be discarded by cor() which only looks at the data itself and doesn't align the observations. The ccf() result is the one you want. Cheers, Michael