Hi,
I have a bunch of irregularly spaced xts time series (with a POSIX index),
and I'm trying to write a function that fillls the missing days. Using a
solution suggested by Gabor Grothendieck for zoo, I wrote the following:
# FD: Fill missing days
FD<-function(ser) {rng<-range(time(ser))
> temp<-merge(ser,xts(,seq(rng[1],rng[2],"day")))
> na.locf(temp,fromLast=TRUE)
However,using S&P end-of-day time series, I obtain doubled entries such as:
2011-09-29 00:00:00 1160.40
2011-09-29 02:00:00 1131.42
2011-09-30 00:00:00 1131.42
2011-09-30 02:00:00 1099.23
2011-10-01 02:00:00 1099.23
2011-10-02 02:00:00 1099.23
It looks like it is due to the way xts handles time zones. What is the
correct way to do this?
Thanks
TDB
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