[R] Embed function strips out date index

[Manussawee Sukunta]

Sorry - I actually thought about it after I'd sent out the first message.

When I did
>attributes(series)
I saw that series$class is 'xts' 'zoo'.

I just want to keep some sort of indexing so that I can keep track of
what is going on...  a sanity check.  My database can get quite large.

I will try
rownames(series.d) <- rownames(series)
per Peter's suggestion in the meanwhile.

May be something will click in my head later...

Thank you again,
Manussawee

On Wed, Jun 30, 2010 at 3:54 PM, Jonathan Christensen
<dzhonatan at gmail.com> wrote:
> Manussawee,
>
> What type of object is series? We could help you better if we could
> reproduce exactly what you are trying to do, which requires more information
> (you made a good start by including data and code, though).
>
> The output of diff is a vector (time series, ...) with length one less than
> the input. embed(..., 2) also returns an object with length one less than
> the input. This is why you noticed that series.d had a different length than
> series (shorter by exactly 2, I bet).
>
> You should be able to figure out what you want to do from there. Since I
> don't know how you want the dates to line up, I can't really help you
> anymore from here.
>
> Jonathan
>
>
> On Wed, Jun 30, 2010 at 2:32 PM, Manussawee Sukunta
> <msukunta at illinoisalumni.org> wrote:
>>
>> Hi,
>>
>> I'm having especially hard time today and couldn't find any
>> clue/answer through the internet.  I hope you can help.
>>
>> I'm in a process of writing a script to estimate error correction
>> model, and I was following an example in Bernhard Pfaff's Analysis of
>> Integrated and Cointegrated Time Series with R.  I have the following
>> price data:
>>
>> > head(series,15)
>>            PX_SETTLE PX_SETTLE.1
>> 2009-01-02    4515.0      925.50
>> 2009-01-05    4540.5      927.50
>> 2009-01-06    4603.5      930.50
>> 2009-01-07    4470.5      905.25
>> 2009-01-08    4474.5      906.75
>> 2009-01-09    4430.5      885.50
>> 2009-01-12    4402.0      868.00
>> 2009-01-13    4343.5      868.50
>> 2009-01-14    4130.5      839.75
>> 2009-01-15    4070.5      839.25
>> 2009-01-16    4129.5      848.50
>> 2009-01-20    4032.0      806.00
>> 2009-01-21    4018.0      836.75
>> 2009-01-22    4011.0      825.50
>> 2009-01-23    3998.0      823.50
>>
>> Then I defined
>> series.d = embed(diff(series),dim=2)
>>
>> which resulted in
>> > head(series.d,15)
>>         [,1]   [,2]   [,3]   [,4]
>>  [1,]   25.5   2.00     NA     NA
>>  [2,]   63.0   3.00   25.5   2.00
>>  [3,] -133.0 -25.25   63.0   3.00
>>  [4,]    4.0   1.50 -133.0 -25.25
>>  [5,]  -44.0 -21.25    4.0   1.50
>>  [6,]  -28.5 -17.50  -44.0 -21.25
>>  [7,]  -58.5   0.50  -28.5 -17.50
>>  [8,] -213.0 -28.75  -58.5   0.50
>>  [9,]  -60.0  -0.50 -213.0 -28.75
>> [10,]   59.0   9.25  -60.0  -0.50
>> [11,]  -97.5 -42.50   59.0   9.25
>> [12,]  -14.0  30.75  -97.5 -42.50
>> [13,]   -7.0 -11.25  -14.0  30.75
>> [14,]  -13.0  -2.00   -7.0 -11.25
>> [15,]  169.0   7.25  -13.0  -2.00
>>
>> The new data series.d now has no date index.  I'm not sure how to get
>> it back.  I tried to xts --> order.by = index(series), but the vector
>> lengths are now not the same.  I feel like the answer might be
>> obvious, but I just can't see it.  Again, I tried searching various
>> forums and sites, but I couldn't find my answer.  I feel like I'm just
>> going around a circle.  I hope someone can help me and shed some light
>> on this problem.
>>
>> Thank you,
>> Manussawee
>>
>> ______________________________________________
>> R-help at r-project.org mailing list
>> https://stat.ethz.ch/mailman/listinfo/r-help
>> PLEASE do read the posting guide
>> http://www.R-project.org/posting-guide.html
>> and provide commented, minimal, self-contained, reproducible code.
>
>



-- 
Visit my blog at http://somthum.blogspot.com