Time series misalignment
On Tue, 12 Apr 2005 18:47:21 -0400 Fernando Saldanha wrote:
Can one also predetermine a set and then estimate all the models one wants to compare using the zoo package?
Sure, you can merge() several series first and then pass this as the data argument to lm(). See the vignette of the zoo package for more examples.
Or can that be done only with the tseries package?
Really, you are *not* using the tseries package here! (In the old days, the class "ts" and its methods used to be in the package ts, but this was merged into stats long ago. tseries is an entirely different package.) Z
Thanks. FS On 4/12/05, Achim Zeileis <Achim.Zeileis at wu-wien.ac.at> wrote:
Fernando:
This maybe a basic question, but I have spent several hours researching and I could not get an answer, so please bear with me. The problem is with time series in the package tseries.
BTW: the `tseries' package is not involved here.
As the example below shows, the time series can get misaligned, so that bad results are obtained when doing regressions.
lm() per se has only very limited support for time series regression. Therefore, there are currently several tools under development for addressing this issue. In particular, Gabor Grothendieck and myself are working on different approaches to this problem. <snip>
To fix this problem I did the following:
tsf <- ts.intersect(y1, x1, z1)
Now I can do:
lm1 <- lm(tsf[,3] ~ tsf[,2])
It is probably simpler to just do lm1 <- lm(z1 ~ x1, data = tsf) Another approach is implemented in the zoo package. This implements an formula dispatch and you can do lm1 <- lm(I(z1 ~ x1)) *without* computing tsf first. Depending on what you want to do with the fitted models, one of the two approaches might be easier, currently. In particular, if you want to fit and compare several models, then I would compute the intersection first and fit all models of interest on this data set. Furthermore, note that the dispatch implementation via I() in zoo is still under development and likely to change in future versions. (But this mainly means that improved implementations will become available soon, stay tuned :-) Z