[R] ccf(x,y) vs. cor() of x and lagged values of y

[R. Michael Weylandt]

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
>