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@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
>
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>

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