[R] Cross-Correlation function (CCF) issues

[manta]

This is what I get.

> ccf(do1,dr1)
Errore in na.fail.default(ts.intersect(as.ts(x), as.ts(y))) : 
  valore mancante nell'oggetto #italian translation of 'missing values in
object'
> ccf(do1,dr2)
Errore in na.fail.default(ts.intersect(as.ts(x), as.ts(y))) : 
  valore mancante nell'oggetto #italian translation of 'missing values in
object'

Could the problem be in a different version of the ccf function i have?




David Winsemius wrote:
> 
> When I remake those variables and try ccf(do1,dr1), the plot appears  
> reasonable. What problem were you experiencing? It looks as though  
> your method of differencing (whatever it was) offset the date  
> registration of the zoo series in dr2,  but ccf(do1, dr2) still does  
> not appear to choke on that input.
> 
> -- 
> David
> 
> On Apr 21, 2009, at 4:06 PM, manta wrote:
> 
>> DW:  Modifications of that output to reconstruct the series:
> 
>>
>> do1 <- structure(c(0.0800000000000018, 0.009999999999998,  
>> 0.170000000000002,
>> -0.0300000000000011, 0, 0.629999999999999, -0.319999999999997,
>> -0.430000000000003, -0.469999999999999, -0.359999999999999), index =
>> structure(c(9497,
>> 9498, 9499, 9500, 9503, 9504, 9505, 9506, 9507, 9510), class =  
>> "Date"),
>> class = "zoo");
> 
>>
>> dr1 <- structure(c(0.000581439553993701, -0.00237250002417344,
>> -0.00728359151384361,
>> 0.00745364483017663, -0.000700422111259091, -0.00100249660582796,
>> 0.00198943708754806, 0.000342959230417050, -0.00113732213621109,
>> -0.00205039624417003), index = structure(c(9497, 9498, 9499,
>> 9500, 9503, 9504, 9505, 9506, 9507, 9510), class = "Date"), class =  
>> "zoo");
> 
>>
>> dr2 <- structure(c(-0.00295393957816714, -0.00491109148967017,  
>> 0.0147372363440202,
>> -0.00815406694143572, -0.000302074494568871, 0.00299193369337603,
>> -0.00164647785713101, -0.00148028136662814, -0.000913074107958933,
>> -0.00247839573899256), index = structure(c(9498, 9499, 9500,
>> 9503, 9504, 9505, 9506, 9507, 9510, 9511), class = "Date"), class =  
>> "zoo")
> 
>>
>>
>> total number of observations is 3393 for the original data set (i.e.  
>> for do1
>> is 3392, for do2 is 3391 and so on)
>>
>>
>>
>> David Winsemius wrote:
>>>
>>> We still have an inadequate characterization of the data to answe the
>>> question ( as I remember it from yesterday). Missing, for example, is
>>> any information about lengths which would seem essential since (as I
>>> remember) you wantted to know why the result was so short. Why not  
>>> put
>>> in a full working example with an extract of the data. Suggest you  
>>> try
>>> using dput as a method of creating a working example. That way we  
>>> (and
>>> the R interpreter) would get labels and class information.
>>>
>>> -- 
>>> David Winsemius
>>>
>>> On Apr 21, 2009, at 10:56 AM, manta wrote:
>>>
>>>>
>>>> Sorry, my bad, i did not mean to 'be mean'.
>>>> Here are the first five observations for three variables (dr1, dr2
>>>> and doil)
>>>>
>>>> dr1
>>>> 1996-01-02    1996-01-03    1996-01-04    1996-01-05    1996-01-08
>>>> 0.0005814396 -0.0023725000 -0.0072835915  0.0074536448 -0.0007004221
>>>>
>>>> dr2
>>>>  1996-01-03    1996-01-04    1996-01-05    1996-01-08    1996-01-09
>>>> -0.0029539396 -0.0049110915  0.0147372363 -0.0081540669  
>>>> -0.0003020745
>>>>
>>>> do1
>>>> 1996-01-02 1996-01-03 1996-01-04 1996-01-05 1996-01-08
>>>>     0.08       0.01       0.17      -0.03       0.00
>>>>
>>>> As you can see, dr2 is nothing but the 1st difference of dr1. In my
>>>> case,
>>>> I'm trying to find out the cross-correlation between the two
>>>> variables do1
>>>> and dr1 up to their 10th lag (i.e. do1 with do2, do3, ...,
>>>> do10,dr1,dr2,...,dr10, and the same for dr1).
>>>>
>>>> Hope it helps,
>>>> Marco
>>>>
> 
> 
>>>> In response to "??"
> 
>>>> David Winsemius wrote:
>>>>>
>>>>> Are you trying to imply that people should be able to answer a
>>>>> question that included no data? As others have pointed out, our
>>>>> powers of telepathy are generally less than commonly assumed.
>>>>>
> 
> David Winsemius, MD
> Heritage Laboratories
> West Hartford, CT
> 
> ______________________________________________
> R-help at r-project.org mailing list
> 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.
> 
> 

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