Hi,

I try to calculate the correlation between macroeconomic data from  
FRED vs Market Data
However, since the timeseries are not in synch, the correlation fails.

USPBS =get(getSymbols("USPBS", src="FRED" ))
USPBS = USPBS['1983-1-1::']
monDMANEMP = Cl(to.monthly(USPBS))

 > length(monDMANEMP)
[1] 312

 > head(monDMANEMP)
          USPBS.Close
Oct 1983        8192
Nov 1983        8231
Dec 1983        8265
Jan 1984        8309
Feb 1984        8344
Mar 1984        8382

symbol = getSymbols("^DJA",from = "1983-01-01",to=Sys.Date())
market = Cl(get(symbol))
monMarket = Cl(to.monthly(market))

 > length(monMarket)
[1] 314
 > head(monMarket)
          market.Close
Oct 1983       494.18
Nov 1983       510.77
Dec 1983       502.94
Jan 1984       483.46
Feb 1984       454.97
Mar 1984       456.65


Now I try to calculate the correlation

 > cor(monMarket, monDMANEMP)
Error in cor.default(monMarket, monDMANEMP) : incompatible dimensions

#This makes sense since my "Market" data is two data points longer.
#However if I try to merge them to get them aligned on one time axis,  
I get this

 > head(merge.xts(monMarket, monDMANEMP))
          market.Close USPBS.Close
Oct 1983       494.18          NA
Nov 1983           NA        8192
Nov 1983       510.77          NA
Dec 1983           NA        8231
Dec 1983       502.94          NA
Jan 1984           NA        8265

#If I try cbind the same happens
 > head(cbind(monMarket, monDMANEMP))
          market.Close USPBS.Close
Oct 1983       494.18          NA
Nov 1983           NA        8192
Nov 1983       510.77          NA
Dec 1983           NA        8231
Dec 1983       502.94          NA
Jan 1984           NA        8265

#If I then continue to align both of the timeseries on one standard axis

l= (round(Sys.Date()-as.Date("01JAN1983", "%d%b%Y")))
timeline = to.monthly(xts(1:l, as.Date("01JAN1983", "%d%b%Y")+1:l))
alignbar = xts(, index(timeline))

alMonMarket = merge.xts(alignbar, monMarket)
almonDMANEMP = merge.xts(alignbar, monDMANEMP)
x = merge.xts(alMonMarket, almonDMANEMP)

 > head(x)
          market.Close USPBS.Close
Jan 1983           NA          NA
Feb 1983           NA          NA
Mar 1983           NA          NA
Apr 1983           NA          NA
May 1983           NA          NA
Jun 1983           NA          NA

Any pointer towards the error is highly appreciated

Jan
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