Thanks all for detailed replies, which go beyond a narrow answer to my question.
Naresh Sent from my iPhone > On May 1, 2022, at 12:14 PM, Eric Berger <ericjber...@gmail.com> wrote: > > Thanks > > >> On Sun, May 1, 2022 at 6:58 PM Achim Zeileis <achim.zeil...@uibk.ac.at> >> wrote: >> >>> On Sun, 1 May 2022, Eric Berger wrote: >>> >>> Hi Achim, >>> My point was that tsbox (apparently) provides tools to convert zoo --> >>> ts which should help the OP. >> >> Not necessarily, because ts can only represent regular and plain numeric >> time indexes whereas zoo (and also xts and tsibble) can represent >> irregular time indexes of different classes as well. Also, zoo (and also >> xts and tsibble) can convert to many other time series classes (including >> ts) directly, there is no need to go via tsbox for that. >> >> In this particular case it would be possible, though, to convert back and >> forth between ts and zoo because the data is simply monthly. This can be >> done with as.ts() and as.zoo(), respectively. >> >> dd.ocus <- efp(dd ~ dd.lag1 + dd.lag12, data = as.ts(na.trim(dd.z)), >> type = "OLS-CUSUM") >> >> >>>> On Sun, May 1, 2022 at 5:56 PM Achim Zeileis <achim.zeil...@uibk.ac.at> >>>> wrote: >>>> >>>>> On Sun, 1 May 2022, Eric Berger wrote: >>>>> >>>>> Hi Naresh, >>>>> The tsbox package on CRAN - >>>>> https://cran.r-project.org/web/packages/tsbox/index.html - has the >>>>> following description: >>>>> >>>>> tsbox: Class-Agnostic Time Series >>>>> >>>>> Time series toolkit with identical behavior for all time series >>>>> classes: 'ts','xts', 'data.frame', 'data.table', 'tibble', 'zoo', >>>>> 'timeSeries', 'tsibble', 'tis' or 'irts'. Also converts reliably >>>>> between these classes. >>>>> >>>>> Hopefully this will provide you the necessary tools to solve your problem. >>>> >>>> Not really because the code inside strucchange::efp does not use tsbox but >>>> just ts directly. >>>> >>>> Best, >>>> Achim >>>> >>>>> Good luck, >>>>> Eric >>>>> >>>>> >>>>> >>>>> On Sun, May 1, 2022 at 3:37 PM Naresh Gurbuxani >>>>> <naresh_gurbux...@hotmail.com> wrote: >>>>>> >>>>>> I am trying to replicate empirical fluctuation process fit (efp) >>>>>> described in the book "Applied Econometrics with R". This fit works >>>>>> when data input is an object of class ts, but not when data input is >>>>>> object of class zoo. I prefer to use zoo because it provides better >>>>>> housekeeping with dates. Is it possible to achieve the fit with zoo? >>>>>> >>>>>> library(AER) >>>>>> library(strucchange) >>>>>> >>>>>> data(UKDriverDeaths) >>>>>> dd <- log(UKDriverDeaths) >>>>>> dd.z <- zoo(dd, order.by = as.yearmon(time(dd))) >>>>>> dd.z <- merge(dd = dd.z, dd.lag1 = lag(dd.z, k = -1), >>>>>> dd.lag12 = lag(dd.z, k = -12)) >>>>>> >>>>>> # Does not work >>>>>> dd.ocus <- efp(dd ~ dd.lag1 + dd.lag12, data = na.trim(dd.z), >>>>>> type = "OLS-CUSUM") >>>>>> # Error message >>>>>> # Error in eval(attr(mt, "variables")[[2]], data, env) : >>>>>> # numeric 'envir' arg not of length one >>>>>> >>>>>> # Works >>>>>> dd.ocus <- efp(dd ~ dd.lag1 + dd.lag12, data = ts(na.trim(dd.z)), >>>>>> type = "OLS-CUSUM") >>>>>> >>>>>> # But time stamps are lost >>>>>> plot(dd.ocus) >>>>>> # Time indexed from 0 to 180 >>>>>> >>>>>> Thanks, >>>>>> Naresh >>>>>> ______________________________________________ >>>>>> R-help@r-project.org mailing list -- To UNSUBSCRIBE and more, see >>>>>> https://stat.ethz.ch/mailman/listinfo/r-help >>>>>> PLEASE do read the posting guide >>>>>> http://www.R-project.org/posting-guide.html >>>>>> and provide commented, minimal, self-contained, reproducible code. >>>>> >>>>> ______________________________________________ >>>>> R-help@r-project.org mailing list -- To UNSUBSCRIBE and more, see >>>>> https://stat.ethz.ch/mailman/listinfo/r-help >>>>> PLEASE do read the posting guide >>>>> http://www.R-project.org/posting-guide.html >>>>> and provide commented, minimal, self-contained, reproducible code. >>>>> >>> ______________________________________________ R-help@r-project.org mailing list -- To UNSUBSCRIBE and more, see https://stat.ethz.ch/mailman/listinfo/r-help PLEASE do read the posting guide http://www.R-project.org/posting-guide.html and provide commented, minimal, self-contained, reproducible code.
