Skip to content
Prev 325612 / 398503 Next

how to get growth rate of a (time series) data?

On Wed, Jun 19, 2013 at 7:04 AM, Yanyuan Zhu <yyz at tongji.edu.cn> wrote:
As already mentioned, that R expression gives (Y[t] - Y[t-1]) / Yt[t]
whereas you want

Y <- test$Y
n <- length(Y)
diff(Y) / Y[-n]

or you might want to use a time series class for simpler
manipluations:  Using ts class:

Y.ts <- ts(test[, 2], start = test[1,1])
Ydiff.ts <- diff(Y.ts) / lag(Y.ts, - 1)

or, using tis class which is frequently used for equally spaced
eoconomic series:

Y.tis <- tis(test[, 2], start = test[1,1], freq = 1)
Ydiff.tis <- diff(Y.tis) / lag(Y.tis, - 1)

or using zoo class which, in addition, supports non-equally spaced
series and also allows for two different approaches here:

library(zoo)
Y.z <- read.zoo(test, FUN = identity)
Ydiff.z <- diff(Y.z) / lag(Y.z, - 1)

This also works with zoo:

Ydiff.z <- diff(Y.z, arith = FALSE) - 1

--
Statistics & Software Consulting
GKX Group, GKX Associates Inc.
tel: 1-877-GKX-GROUP
email: ggrothendieck at gmail.com