You have pretty much exhausted my expertise on time series, you may want to reask your question on the sig-finance list (with a more specific subject line), there seem to be more time series experts hanging out on that list (though someone please correct me if my impression is wrong).

--
Gregory (Greg) L. Snow Ph.D.
Statistical Data Center
Intermountain Healthcare
greg.snow@imail.org
801.408.8111

From: zhijie zhang [mailto:rusers.sh@gmail.com]
Sent: Thursday, March 05, 2009 6:37 PM
To: Greg Snow
Cc: r-help@stat.math.ethz.ch
Subject: Re: [R] Does R have function or method to finish my task?

  Actually, i had checked out the methods of time series (TS), but i had thought it cannot solve it. TS may only considers the autocorrelation of Y in different time, but not Xs. Besides Y, i also have several independent variables.
  Following your suggestion, i browsed the dynlm package and found it is helpful. Lag function (e.g.lag(x, lag = -k)) may solve the problem. That is, TS plus Lag function may finally solve my task. But one question is how to determine the best k for Y and Xs.
  Thanks.
2009/3/6 Greg Snow <Greg.Snow@imail.org<mailto:Greg.Snow@imail.org>>
I think that the dynlm package was designed for just such a problem.  I also would not be surprised if there are tools in the zoo package to do this.  You should probably check out the time series task view on CRAN as well.

Hope this helps,

--
Gregory (Greg) L. Snow Ph.D.
Statistical Data Center
Intermountain Healthcare
greg.snow@imail.org<mailto:greg.snow@imail.org>
801.408.8111


> -----Original Message-----
> From: r-help-bounces@r-project.org<mailto:r-help-bounces@r-project.org> [mailto:r-help-bounces@r-<mailto:r-help-bounces@r->
> project.org<http://project.org/>] On Behalf Of zhijie zhang
> Sent: Thursday, March 05, 2009 8:56 AM
> To: r-help@stat.math.ethz.ch<mailto:r-help@stat.math.ethz.ch>
> Subject: [R] Does R have function or method to finish my task?
>
> Dear all,
>   Does R have function or method to finish the following task.
> Say i have a dataset. The response variable is Y, and the indepedent
> variables are X1, X2, X3, and YEAR. See an example.
> Y              X1            X2            X3          X4
> YEAR
> 13.4         2.8           3.5              2.5      1.8          1990
> 10.5        1.8            2.4              2          3           1991
>             ....          .....
>  In ecology, Y may be not only related with X1, X2, X3 in the same year
> as
> Y, but also may be related with X1, X2, X3 and Y in the previous one ,
> two
> or more years as Y. But which year has the closest relationship is not
> know
> and this may be one of the analysis aim.
> Take Year=1995 as an example,
>  Y_1995 may be related with
>       X1_1995 , X2_1995 , X3_1995,
>       X1_1994 , X2_1994 , X3_1994,  Y_1994,   (previous one year)
>      X1_1993 , X2_1993 , X3_1993, Y_1993      (previous two years)
>                 ...         ...
> (previous more years)
>   Pay attention to the situation that Y itself may also affect its own
> value
> of the next several years.
>    Anybody knows whether R have functions or methods to
> finish the above task.
>   I hope i have explained it clearly. Any suggestions or help are
> greatly
> appreciated.
>
>       [[alternative HTML version deleted]]
>
> ______________________________________________
> R-help@r-project.org<mailto:R-help@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-<http://www.r-project.org/posting->
> guide.html
> and provide commented, minimal, self-contained, reproducible code.


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