Às 20:52 de 16/01/2023, Upananda Pani escreveu:
Hi Rui,Thank you so much for your help. As I have to fit a Markov Switching Model using MSwM package. May I know whether i can convert from zoo object to a time series object. As I have to use several packages which uses ts so I am not able to decide how to do it. Grateful to you for your help and support. With sincere regards, Upananda On Tue, 17 Jan, 2023, 01:40 Rui Barradas, <[email protected]> wrote:Às 16:39 de 16/01/2023, Upananda Pani escreveu:Dear All, I have a time series daily data with date are stored ( %dd-%mm-%yyformat )from 22-01-20 to 03-08-21. In total I have 560 observations. I am usingthefollowing command to declare as a time series object. Here the the datasetis 7 days a week. oil <- read_xlsx("crudefinal.xlsx") pricet=ts(oil$price, start = c(2020, 22), freq = 365) roilt=ts(diff(log(oil$price))*100,start=c(2020,22), freq=365) Shall I have to declare the dates here? I want to know also if it is a 5 day trading a week, how to declare the frequency. Looking forward to your reply Regards, Upananda Pani Looking forward to your suggestions. [[alternative HTML version deleted]] ______________________________________________ [email protected] mailing list -- To UNSUBSCRIBE and more, see https://stat.ethz.ch/mailman/listinfo/r-help PLEASE do read the posting guidehttp://www.R-project.org/posting-guide.htmland provide commented, minimal, self-contained, reproducible code.Hello, Package zoo is the best way of having dates in a time series. The package comes with several vignettes that can get you started quickly. See the difference between classes ts and zoo below. # make up some test data oil <- data.frame(price = cumsum(rnorm(560))) oil$date <- seq(as.Date("2020-01-22"), by = "1 day", length.out = 560) # base R pricet <- ts(oil$price, start = c(2020, 22), freq = 365) time(pricet) index(pricet) plot(pricet) #--- library(zoo) library(ggplot2) pricez <- zoo(oil$price, order.by = oil$date) time(pricez) index(pricez) autoplot(pricez) vignette(package = "zoo") Hope this helps, Rui Barradas
Hello,
Please always cc the R-Help list.
I have no experience with package MSwM but according to the
vignette("example", package = "MSwM")
you first fit a regression model, say 'mod', and then fit an
Autoregressive Markov Switching Model to mod. You don't need a time
series, only a regression fit.
Hope this helps, Rui Barradas ______________________________________________ [email protected] 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.
