Hello, I'm a newby in R. I have created a data.frame holding panel data, with the following columns: "id","time","y", say: periods = 100 numcases = 100 df = data.frame( id = rep(1:numcases,periods), time = rep(1:periods, each = numcases) ) df = transform(df,y=c(rnorm(numcases*periods)+id) I want to check whether "y" is autocorrelated. I came across the acf() function, but I cannot understand how to specify that my time variable is "time" and that individuals are identified by their "id". I have also tried to convert my data.frame in a ts or a xts object, but got really lost there. I'd really apreciate help... Thank you, Matteo
detecting autocorrelation structure in panel data
2 messages · Matteo Richiardi, Liviu Andronic
On Mon, Nov 28, 2011 at 3:54 AM, Matteo Richiardi
<matteo.richiardi at gmail.com> wrote:
Hello, I'm a newby in R. I have created a data.frame holding panel data, with
Take a look at the 'plm' package and its vignette. Regards Liviu
the following columns: "id","time","y", say: periods = 100 numcases = 100 df = data.frame( ?id = rep(1:numcases,periods), ?time = rep(1:periods, each = numcases) ) df = transform(df,y=c(rnorm(numcases*periods)+id) I want to check whether "y" is autocorrelated. I came across the acf() function, but I cannot understand how to specify that my time variable is "time" and that individuals are identified by their "id". I have also tried to convert my data.frame in a ts or a xts object, but got really lost there. I'd really apreciate help... Thank you, Matteo
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