[R-SIG-Finance] what's wrong with diff.zoo
mat
matthieu.stigler at gmail.com
Sun Mar 7 14:43:46 CET 2010
Thanks Gabor for your fast answer! And thanks for "reducing" the data
file, true it is much easier to read!
I think the problem must be specific to this data. I had created it from
a .csv file, putting ts attributes with ts(), converting to zoo and then
finally dput(). So maybe through this complicated and indirect process
something went wrong?
I'm using your second workaround, which solves the problem!
Thanks again!
Gabor Grothendieck a écrit :
> Its best to cut down your data as much as possible when posting.
> Using the first 10 rows of PPP seems sufficient to illustrate this:
>
>
>> P <- head(PPP, 10)
>> diff(P)
>>
> PriceIT PriceUS ExRateUSIT
> 1973(4) 0.2000008 0.29999924 -6.330707e-05
> 1973(7) 0.1000004 0.09999847 4.078149e-05
> 1973(10) 0.2000008 0.39999771 -3.498323e-06
>
> Here is the dput output for just those 10 rows in case there are follow ups:
>
> P <- structure(c(19.60000038147, 19.70000076294, 20, 20.20000076294,
> 20.5, 20.60000038147, 20.70000076294, 20.70000076294, 21, 21.20000076294,
> 42.5999984741, 42.9000015259, 43.2999992371, 43.5999984741, 43.9000015259,
> 44.2000007629, 44.2999992371, 45.0999984741, 45.2000007629, 45.5999984741,
> 0.00170791273132914, 0.00174209951913706, 0.00176040845258218,
> 0.00169710137902025, 0.00169609381850337, 0.0016792046735684,
> 0.00171998616788486, 0.00174231201103162, 0.0017690973759385,
> 0.00176559905254172), .Dim = c(10L, 3L), .Dimnames = list(NULL,
> c("PriceIT", "PriceUS", "ExRateUSIT")), index = c(1973, 1973.08333333333,
> 1973.16666666667, 1973.25, 1973.33333333333, 1973.41666666667,
> 1973.5, 1973.58333333333, 1973.66666666667, 1973.75), class = c("zooreg",
> "zoo"), frequency = 12)
>
> The problem appears to be small differences between P and lag(P, -1).
> Note sure if this is a problem with this specific object (how was it
> created?) or if its a general problem. We can see the problem by
> merging P with lag(P, -1) :
>
>
>> merge(P, lag(P, -1))
>>
> PriceIT.P PriceUS.P ExRateUSIT.P PriceIT.lag(P, -1)
> PriceUS.lag(P, -1) ExRateUSIT.lag(P, -1)
> 1973(1) 19.6 42.6 0.001707913 NA
> NA NA
> 1973(26178848280) 19.7 42.9 0.001742100 NA
> NA NA
> 1973(26178848281) NA NA NA 19.6
> 42.6 0.001707913
> 1973(52357696562) NA NA NA 19.7
> 42.9 0.001742100
> 1973(52357696563) 20.0 43.3 0.001760408 NA
> NA NA
> 1973(78536544842) 20.2 43.6 0.001697101 20.0
> 43.3 0.001760408
> 1973(104715393122) 20.5 43.9 0.001696094 NA
> NA NA
> 1973(104715393123) NA NA NA 20.2
> 43.6 0.001697101
> 1973(130894241403) NA NA NA 20.5
> 43.9 0.001696094
> 1973(130894241404) 20.6 44.2 0.001679205 NA
> NA NA
> 1973(157073089683) 20.7 44.3 0.001719986 20.6
> 44.2 0.001679205
> 1973(183251937963) 20.7 45.1 0.001742312 NA
> NA NA
> 1973(183251937964) NA NA NA 20.7
> 44.3 0.001719986
> 1973(209430786244) NA NA NA 20.7
> 45.1 0.001742312
> 1973(209430786245) 21.0 45.2 0.001769097 NA
> NA NA
> 1973(235609634525) 21.2 45.6 0.001765599 21.0
> 45.2 0.001769097
> 1973(261788482805) NA NA NA 21.2
> 45.6 0.001765599
>
> Will look at the problem but in the meantime here are three workarounds:
>
>
>> # 1. fix up the time scale as it seems slightly off a 12 point cycle
>> P0 <- aggregate(P, round(12 * time(P))/12, identity)
>> diff(P0)
>>
> PriceIT PriceUS ExRateUSIT
> 1973(2) 0.1000004 0.30000305 3.418679e-05
> 1973(3) 0.2999992 0.39999771 1.830893e-05
> 1973(4) 0.2000008 0.29999924 -6.330707e-05
> 1973(5) 0.2999992 0.30000305 -1.007561e-06
> 1973(6) 0.1000004 0.29999924 -1.688914e-05
> 1973(7) 0.1000004 0.09999847 4.078149e-05
> 1973(8) 0.0000000 0.79999924 2.232584e-05
> 1973(9) 0.2999992 0.10000229 2.678536e-05
> 1973(10) 0.2000008 0.39999771 -3.498323e-06
>
>
>> # 2. use zoo instead of zooreg
>> diff(as.zoo(P))
>>
> PriceIT PriceUS ExRateUSIT
> 1973.0833 0.1000004 0.30000305 3.418679e-05
> 1973.1667 0.2999992 0.39999771 1.830893e-05
> 1973.25 0.2000008 0.29999924 -6.330707e-05
> 1973.3333 0.2999992 0.30000305 -1.007561e-06
> 1973.4167 0.1000004 0.29999924 -1.688914e-05
> 1973.5 0.1000004 0.09999847 4.078149e-05
> 1973.5833 0.0000000 0.79999924 2.232584e-05
> 1973.6667 0.2999992 0.10000229 2.678536e-05
> 1973.75 0.2000008 0.39999771 -3.498323e-06
>
>
>> # 3. assuming this is monthly data use yearmon class
>> Pym <- aggregate(P, as.yearmon, identity)
>> diff(Pym)
>>
> PriceIT PriceUS ExRateUSIT
> Feb 1973 0.1000004 0.30000305 3.418679e-05
> Mar 1973 0.2999992 0.39999771 1.830893e-05
> Apr 1973 0.2000008 0.29999924 -6.330707e-05
> May 1973 0.2999992 0.30000305 -1.007561e-06
> Jun 1973 0.1000004 0.29999924 -1.688914e-05
> Jul 1973 0.1000004 0.09999847 4.078149e-05
> Aug 1973 0.0000000 0.79999924 2.232584e-05
> Sep 1973 0.2999992 0.10000229 2.678536e-05
> Oct 1973 0.2000008 0.39999771 -3.498323e-06
>
>
> On Sun, Mar 7, 2010 at 7:46 AM, mat <matthieu.stigler at gmail.com> wrote:
>
>> Hi all
>>
>> I have a strange output using diff.zoo, where diff reduces the dim object by
>> more than 1:
>>
>> See:
>>
>
>
>
>
>
>>> class(PPP)
>>>
>> [1] "zooreg" "zoo" > frequency(PPP)
>> [1] 12
>>
>>> dim(PPP)
>>>
>> [1] 202 3
>>
>>> dim(diff(PPP))
>>>
>> [1] 67 3
>>
>> #What is happening? Dim is not 201 3 as I would expect, like I get with ts:
>>
>>> dim(diff(as.ts(PPP)))
>>>
>> [1] 201 3
>>
>> #Differentiation seems to be done only for selected months...
>>
>>> head(PPP)
>>>
>> PriceIT PriceUS ExRateUSIT
>> 1973(1) 0.0000000 0.0000000 0.0000000
>> 1973(2) 0.5089089 0.7017644 1.9819006
>> 1973(3) 2.0202688 1.6298400 3.0273857
>> 1973(4) 3.0153056 2.3202898 -0.6350275
>> 1973(5) 4.4895300 3.0060137 -0.6944147
>> 1973(6) 4.9761509 3.6870589 -1.6951727
>>
>>> head(diff(PPP))
>>>
>> PriceIT PriceUS ExRateUSIT
>> 1973(4) 0.9950369 0.6904498 -3.6624133
>> 1973(7) 0.4842643 0.2259853 2.3995976
>> 1973(10) 0.9478780 0.8810579 -0.1979420
>> 1974(1) 1.3730158 0.8620694 -6.4295795
>> 1974(4) 1.2959112 0.4175387 0.2104218
>> 1974(7) 2.4591418 0.8130157 0.9254661
>>
>> #Series is from:
>> library(zoo)
>> source("priceLev.R") #see below
>>
>> Thanks a lot for your help, I'm really stuck...
>>
>> Mat
>>
>> I had problems copy/paste this directly into R console, but saving it as
>> priceLev.R and sourcing it was ok:
>>
>>
>> PPP<-structure(c(19.60000038147, 19.70000076294, 20, 20.20000076294,
>> 20.5, 20.60000038147, 20.70000076294, 20.70000076294, 21, 21.20000076294,
>> 21.29999923706, 21.70000076294, 22, 22.39999961853, 23, 23.29999923706,
>> 23.70000076294, 24.10000038147, 24.70000076294, 25.20000076294,
>> 26, 26.5, 27, 27.10000038147, 27.5, 27.89999961853, 27.89999961853,
>> 28.20000076294, 28.5, 28.79999923706, 28.89999961853, 29.10000038147,
>> 29.29999923706, 29.70000076294, 30, 30.29999923706, 30.5, 31,
>> 31.70000076294, 32.70000076294, 33.20000076294, 33.29999923706,
>> 33.5, 33.79999923706, 34.40000152588, 35.59999847412, 36.29999923706,
>> 36.79999923706, 37.29999923706, 38.09999847412, 38.79999923706,
>> 39.20000076294, 39.70000076294, 40, 40.29999923706, 40.70000076294,
>> 41.09999847412, 41.40000152588, 42.09999847412, 42.29999923706,
>> 42.79999923706, 43.20000076294, 43.59999847412, 44.09999847412,
>> 44.59999847412, 44.90000152588, 45.29999923706, 45.40000152588,
>> 46.09999847412, 46.59999847412, 47, 47.40000152588, 48.29999923706,
>> 48.90000152588, 49.70000076294, 50.40000152588, 51.09999847412,
>> 51.59999847412, 52, 52.59999847412, 53.79999923706, 55.09999847412,
>> 55.70000076294, 56.70000076294, 58.5, 59.59999847412, 60.20000076294,
>> 61, 61.59999847412, 62.09999847412, 63.20000076294, 63.90000152588,
>> 65.30000305176, 66.40000152588, 67.80000305176, 68.69999694824,
>> 69.90000152588, 71.19999694824, 72.19999694824, 73.30000305176,
>> 74.19999694824, 75, 75.69999694824, 76.19999694824, 77.30000305176,
>> 78.69999694824, 80.09999847412, 80.90000152588, 82, 83.09999847412,
>> 83.80000305176, 84.5, 85.5, 86.40000152588, 87.69999694824, 89.30000305176,
>> 90.5, 92.30000305176, 93.5, 94.09999847412, 95.40000152588, 96.80000305176,
>> 97.59999847412, 98.59999847412, 99.59999847412, 100.19999694824,
>> 101.09999847412, 101.5, 102.80000305176, 104.5, 105.59999847412,
>> 106.09999847412, 107.40000152588, 108.5, 109.19999694824, 110.09999847412,
>> 110.69999694824, 111.30000305176, 111.69999694824, 112, 112.90000152588,
>> 114, 114.69999694824, 115.40000152588, 116.59999847412, 117.80000305176,
>> 118.69999694824, 119.69999694824, 120.40000152588, 121, 121.5,
>> 121.69999694824, 122.19999694824, 123.69999694824, 124.5, 125.30000305176,
>> 126, 126.80000305176, 127.30000305176, 127.59999847412, 128.10000610352,
>> 128.60000610352, 128.60000610352, 128.89999389648, 129.19999694824,
>> 130, 130.39999389648, 130.80000305176, 131.60000610352, 132.10000610352,
>> 132.60000610352, 133, 133.5, 133.89999389648, 134.30000305176,
>> 134.69999694824, 135.60000610352, 136.89999389648, 137.19999694824,
>> 137.5, 138.19999694824, 138.5, 139.19999694824, 139.60000610352,
>> 140, 140.5, 140.89999389648, 141.5, 142.19999694824, 143.30000305176,
>> 144.5, 145, 146.10000610352, 147.30000305176, 148, 149, 149.60000610352,
>> 150.30000305176, 150.69999694824, 150.89999389648, 151.60000610352,
>> 153.10000610352, 42.5999984741, 42.9000015259, 43.2999992371,
>> 43.5999984741, 43.9000015259, 44.2000007629, 44.2999992371, 45.0999984741,
>> 45.2000007629, 45.5999984741, 45.9000015259, 46.2000007629, 46.5999984741,
>> 47.2000007629, 47.7999992371, 48, 48.5999984741, 49, 49.4000015259,
>> 50, 50.5999984741, 51.0999984741, 51.5, 51.9000015259, 52.0999984741,
>> 52.5, 52.7000007629, 52.9000015259, 53.2000007629, 53.5999984741,
>> 54.2000007629, 54.2999992371, 54.5999984741, 54.9000015259, 55.2999992371,
>> 55.5, 55.5999984741, 55.7999992371, 55.9000015259, 56.0999984741,
>> 56.5, 56.7999992371, 57.0999984741, 57.4000015259, 57.5999984741,
>> 57.9000015259, 58, 58.2000007629, 58.5, 59.0999984741, 59.5,
>> 60, 60.2999992371, 60.7000007629, 61, 61.2000007629, 61.4000015259,
>> 61.5999984741, 61.9000015259, 62.0999984741, 62.5, 62.9000015259,
>> 63.4000015259, 63.9000015259, 64.5, 65.1999969482, 65.6999969482,
>> 66, 66.5, 67.0999984741, 67.4000015259, 67.6999969482, 68.3000030518,
>> 69.0999984741, 69.8000030518, 70.5999984741, 71.5, 72.3000030518,
>> 73.0999984741, 73.8000030518, 74.5999984741, 75.1999969482, 75.9000015259,
>> 76.6999969482, 77.8000030518, 78.9000015259, 80.0999984741, 81,
>> 81.8000030518, 82.6999969482, 82.6999969482, 83.3000030518, 84,
>> 84.8000030518, 85.5, 86.3000030518, 87, 87.9000015259, 88.5,
>> 89.0999984741, 89.8000030518, 90.5999984741, 91.5999984741, 92.3000030518,
>> 93.1999969482, 93.4000015259, 93.6999969482, 94, 94.3000030518,
>> 94.5999984741, 94.5, 94.9000015259, 95.8000030518, 97, 97.5,
>> 97.6999969482, 97.9000015259, 98.1999969482, 98, 97.5999984741,
>> 97.8000030518, 97.9000015259, 97.9000015259, 98.5999984741, 99.1999969482,
>> 99.5, 99.9000015259, 100.1999969482, 100.6999969482, 101, 101.1999969482,
>> 101.3000030518, 101.9000015259, 102.4000015259, 102.5999984741,
>> 103.0999984741, 103.4000015259, 103.6999969482, 104.0999984741,
>> 104.5, 105, 105.3000030518, 105.3000030518, 105.3000030518, 105.5,
>> 106, 106.4000015259, 106.9000015259, 107.3000030518, 107.5999984741,
>> 107.8000030518, 108, 108.3000030518, 108.6999969482, 109, 109.3000030518,
>> 109.5999984741, 109.3000030518, 108.8000030518, 108.5999984741,
>> 108.9000015259, 109.5, 109.5, 109.6999969482, 110.1999969482,
>> 110.3000030518, 110.4000015259, 110.5, 111.1999969482, 111.5999984741,
>> 112.0999984741, 112.6999969482, 113.0999984741, 113.5, 113.8000030518,
>> 114.4000015259, 115, 115.3000030518, 115.4000015259, 115.4000015259,
>> 115.6999969482, 116, 116.5, 117.0999984741, 117.5, 118, 118.5,
>> 119, 119.8000030518, 120.1999969482, 120.3000030518, 120.5, 121.0999984741,
>> 121.5999984741, 122.3000030518, 123.0999984741, 123.8000030518,
>> 124.0999984741, 124.4000015259, 124.5999984741, 125, 125.5999984741,
>> 0.00170791273132914, 0.00174209951913706, 0.00176040845258218,
>> 0.00169710137902025, 0.00169609381850337, 0.0016792046735684,
>> 0.00171998616788486, 0.00174231201103162, 0.00176909737593850,
>> 0.00176559905254172, 0.00169038840243291, 0.00164579257106955,
>> 0.00154330508995765, 0.00152751052610713, 0.00156870134431149,
>> 0.00157200571003395, 0.00158080266451816, 0.00153789372388514,
>> 0.00155219247186651, 0.00152690408919378, 0.00151030025882740,
>> 0.0014992053772286, 0.00149961004098130, 0.00151791138210253,
>> 0.00155041165776418, 0.00156779122961396, 0.00158420865760686,
>> 0.00157669023618497, 0.00159370176532851, 0.00159820997361459,
>> 0.00153869820346857, 0.00149628918637955, 0.00147399143728242,
>> 0.00147449127396179, 0.00147210366254964, 0.001464493321869,
>> 0.00142450142450142, 0.00130210030432208, 0.00121129900062598,
>> 0.00113710017662363, 0.00116759682220348, 0.00117799501854215,
>> 0.00119430080008036, 0.00119360230910755, 0.00118369811305430,
>> 0.00116840174992149, 0.00115540150202195, 0.00115210030473245,
>> 0.00113720364788047, 0.00113269527966656, 0.00112759908181671,
>> 0.00112640515330342, 0.00112790438476952, 0.00112949684031799,
>> 0.00113300327052292, 0.00113319581068863, 0.0011317978765388,
>> 0.00113530572839516, 0.00113879652617039, 0.00114160461084470,
>> 0.00114689423295764, 0.00116189904399275, 0.00116919410456185,
>> 0.00116440190827110, 0.00114880470740695, 0.00116339946972441,
>> 0.00118040065178541, 0.00119520008695516, 0.00120499348594498,
>> 0.00123169392646559, 0.00118570513198108, 0.00118629587872915,
>> 0.00119550017935439, 0.00118989544621630, 0.00118880621116386,
>> 0.00118580356321465, 0.00117439812096301, 0.00118280204099774,
>> 0.00121919992832387, 0.00122189634673585, 0.00123260489724270,
>> 0.00121119629142077, 0.00121119629142077, 0.00123289363839214,
>> 0.00124269912368631, 0.00123459841491511, 0.00116349423223834,
>> 0.00114169585595958, 0.00118600047471892, 0.00119730364063127,
>> 0.00120260238929126, 0.00118009415111576, 0.00117420504297619,
>> 0.00114409932379843, 0.00110000106750649, 0.00107040024502102,
>> 0.00104718620797518, 0.000980613256761468, 0.000969649910456641,
>> 0.000927867583147656, 0.000876370465502322, 0.000843525938422606,
>> 0.000823295979829121, 0.000803735801681492, 0.000842027275228413,
>> 0.000837303506576214, 0.00083921485467683, 0.000828939961655155,
>> 0.000814186402967888, 0.000791652779081, 0.000773221759850004,
>> 0.000756658609619449, 0.00077919851937074, 0.000736143901754949,
>> 0.000723452890870574, 0.000718081299390519, 0.00070862183088102,
>> 0.000694473409094806, 0.000680809361993181, 0.000714929155512817,
>> 0.00072742616872993, 0.000714397961872782, 0.000699437666460164,
>> 0.00068853453006531, 0.000681310291427974, 0.00066182213723944,
>> 0.000652141291441826, 0.000629033682327389, 0.000623978237540331,
>> 0.000631787746464218, 0.000615085574381394, 0.000599923208071712,
>> 0.000585950087094921, 0.000600099611261314, 0.000619513417282865,
>> 0.000610321768907887, 0.000589511431606801, 0.000590040105729007,
>> 0.000571043507422813, 0.000561649461352701, 0.000534533528145891,
>> 0.000526598495131594, 0.000536754233000383, 0.000522870343728599,
>> 0.000513146818997007, 0.000489715964740451, 0.000481116189559779,
>> 0.000506101044383357, 0.000503917974554817, 0.000511791668803899,
>> 0.000526224404774398, 0.000533757489838498, 0.000525370111122406,
>> 0.000560089149346125, 0.000570216463691828, 0.000583600817041144,
>> 0.000601272286874565, 0.000629639672710148, 0.000645815416462228,
>> 0.000641251743442265, 0.000654236179260713, 0.000652273182391623,
>> 0.000676448079471965, 0.000704061753916339, 0.000709104198499191,
>> 0.000720632404196826, 0.000713735141009144, 0.000724931887198181,
>> 0.000759203418417369, 0.0007705703819913, 0.000765755403403666,
>> 0.000773419154661628, 0.000774713326752632, 0.000759589821496392,
>> 0.000747406521267597, 0.000743947953430204, 0.000762857979627377,
>> 0.00076770719167874, 0.000807174154425746, 0.000830744187376882,
>> 0.000821773713091906, 0.000800243277082303, 0.000806016075652368,
>> 0.00080580827232252, 0.000794401024342725, 0.000765954804926349,
>> 0.00073138978164888, 0.000715343373114671, 0.00071779778378185,
>> 0.000738901704515748, 0.000769100631071927, 0.000771837212823204,
>> 0.000743428098333353, 0.000737854892260688, 0.000728597449908925,
>> 0.000728969211551167, 0.000706299507030033, 0.000697155593265228,
>> 0.000731320244617571, 0.000722418082886736, 0.00071215938252162,
>> 0.000730332160273162), .Dim = c(202L, 3L), .Dimnames = list(NULL,
>> c("PriceIT", "PriceUS", "ExRateUSIT")), index = c(1973,
>> 1973.08333333333, 1973.16666666667, 1973.25, 1973.33333333333,
>> 1973.41666666667, 1973.5, 1973.58333333333, 1973.66666666667,
>> 1973.75, 1973.83333333333, 1973.91666666667, 1974, 1974.08333333333,
>> 1974.16666666667, 1974.25, 1974.33333333333, 1974.41666666667,
>> 1974.5, 1974.58333333333, 1974.66666666667, 1974.75, 1974.83333333333,
>> 1974.91666666667, 1975, 1975.08333333333, 1975.16666666667, 1975.25,
>> 1975.33333333333, 1975.41666666667, 1975.5, 1975.58333333333,
>> 1975.66666666667, 1975.75, 1975.83333333333, 1975.91666666667,
>> 1976, 1976.08333333333, 1976.16666666667, 1976.25, 1976.33333333333,
>> 1976.41666666667, 1976.5, 1976.58333333333, 1976.66666666667,
>> 1976.75, 1976.83333333333, 1976.91666666667, 1977, 1977.08333333333,
>> 1977.16666666667, 1977.25, 1977.33333333333, 1977.41666666667,
>> 1977.5, 1977.58333333333, 1977.66666666667, 1977.75, 1977.83333333333,
>> 1977.91666666667, 1978, 1978.08333333333, 1978.16666666667, 1978.25,
>> 1978.33333333333, 1978.41666666667, 1978.5, 1978.58333333333,
>> 1978.66666666667, 1978.75, 1978.83333333333, 1978.91666666667,
>> 1979, 1979.08333333333, 1979.16666666667, 1979.25, 1979.33333333333,
>> 1979.41666666667, 1979.5, 1979.58333333333, 1979.66666666667,
>> 1979.75, 1979.83333333333, 1979.91666666667, 1980, 1980.08333333333,
>> 1980.16666666667, 1980.25, 1980.33333333333, 1980.41666666667,
>> 1980.5, 1980.58333333333, 1980.66666666667, 1980.75, 1980.83333333333,
>> 1980.91666666667, 1981, 1981.08333333333, 1981.16666666667, 1981.25,
>> 1981.33333333333, 1981.41666666667, 1981.5, 1981.58333333333,
>> 1981.66666666667, 1981.75, 1981.83333333333, 1981.91666666667,
>> 1982, 1982.08333333333, 1982.16666666667, 1982.25, 1982.33333333333,
>> 1982.41666666667, 1982.5, 1982.58333333333, 1982.66666666667,
>> 1982.75, 1982.83333333333, 1982.91666666667, 1983, 1983.08333333333,
>> 1983.16666666667, 1983.25, 1983.33333333333, 1983.41666666667,
>> 1983.5, 1983.58333333333, 1983.66666666667, 1983.75, 1983.83333333333,
>> 1983.91666666667, 1984, 1984.08333333333, 1984.16666666667, 1984.25,
>> 1984.33333333333, 1984.41666666667, 1984.5, 1984.58333333333,
>> 1984.66666666667, 1984.75, 1984.83333333333, 1984.91666666667,
>> 1985, 1985.08333333333, 1985.16666666667, 1985.25, 1985.33333333333,
>> 1985.41666666667, 1985.5, 1985.58333333333, 1985.66666666667,
>> 1985.75, 1985.83333333333, 1985.91666666667, 1986, 1986.08333333333,
>> 1986.16666666667, 1986.25, 1986.33333333333, 1986.41666666667,
>> 1986.5, 1986.58333333333, 1986.66666666667, 1986.75, 1986.83333333333,
>> 1986.91666666667, 1987, 1987.08333333333, 1987.16666666667, 1987.25,
>> 1987.33333333333, 1987.41666666667, 1987.5, 1987.58333333333,
>> 1987.66666666667, 1987.75, 1987.83333333333, 1987.91666666667,
>> 1988, 1988.08333333333, 1988.16666666667, 1988.25, 1988.33333333333,
>> 1988.41666666667, 1988.5, 1988.58333333333, 1988.66666666667,
>> 1988.75, 1988.83333333333, 1988.91666666667, 1989, 1989.08333333333,
>> 1989.16666666667, 1989.25, 1989.33333333333, 1989.41666666667,
>> 1989.5, 1989.58333333333, 1989.66666666667, 1989.75), class = c("zooreg",
>> "zoo"), frequency = 12)
>>
>>
>> sessionInfo()
>> R version 2.9.2 (2009-08-24)
>> x86_64-pc-linux-gnu
>>
>> locale:
>> LC_CTYPE=fr_CH.UTF-8;LC_NUMERIC=C;LC_TIME=fr_CH.UTF-8;LC_COLLATE=fr_CH.UTF-8;LC_MONETARY=fr_CH.UTF-8;LC_MESSAGES=fr_CH.UTF-8;LC_PAPER=fr_CH.UTF-8;LC_NAME=fr_CH.UTF-8;LC_ADDRESS=fr_CH.UTF-8;LC_TELEPHONE=fr_CH.UTF-8;LC_MEASUREMENT=fr_CH.UTF-8;LC_IDENTIFICATION=fr_CH.UTF-8
>>
>> attached base packages:
>> [1] stats graphics grDevices utils datasets methods base
>> other attached packages:
>> [1] zoo_1.6-2 rkward_0.5.1
>>
>> loaded via a namespace (and not attached):
>> [1] grid_2.9.2 lattice_0.17-26 tools_2.9.2
>>
>> _______________________________________________
>> R-SIG-Finance at stat.math.ethz.ch mailing list
>> https://stat.ethz.ch/mailman/listinfo/r-sig-finance
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>>
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