[R] Lags and Differences of zoo Objects

[Gabor Grothendieck]

On Sat, Jul 31, 2010 at 12:07 AM, pdb <philb at philbrierley.com> wrote:
>
> Hi,
>
> I'm struggling to understand the documentation.
>
>  ?lag.zoo
>
>
> x - a "zoo" object.
> k, lag - the number of lags (in units of observations). Note the sign of k
> behaves as in lag.
> differences - an integer indicating the order of the difference.
>
> What does the above line actually mean? I've tried a few settings on sample
> data but can't figure out what it is doing.
>
>
> x <- iris
> x$Species = NULL
> x$Petal.Width = NULL
> x$Sepal.Width = NULL
> x$Sepal.Length = NULL
>
> x <- zoo(x)
>
> x <-
> merge(orig = x
> ,lag1diff2 = diff(x, lag = 1, differences = 2, arithmetic = TRUE, na.pad =
> TRUE)
> ,lag2diff1 = diff(x, lag = 2, differences = 1, arithmetic = TRUE, na.pad =
> TRUE)
> ,lag2diff2 = diff(x, lag = 2, differences = 2, arithmetic = TRUE, na.pad =
> TRUE)
> )
>
> head(x)
>

It works the same as lag in the core of R. See ?lag where it says that
a series lagged by a positive lag will start earlier. For example,
lagz starts at -1 which is 2 units earlier than the start of z.

> library(zoo)
> z <- zooreg(11:15)
> merge(z, zlag = lag(z, 2))
    z zlag
-1 NA   11
0  NA   12
1  11   13
2  12   14
3  13   15
4  14   NA
5  15   NA

Note that zoo series cannot be lagged outside of the index range (but
zooreg series can) so if we do the above with a zoo series then we
get:

> zz <- zoo(11:15)
> merge(zz, zzlag = lag(zz, 2))
  zz zzlag
1 11    13
2 12    14
3 13    15
4 14    NA
5 15    NA

The following two are the same:

diff(z)
z - lag(z, -1)