Question

I applied a different data set to Joshua Ulrich’s answer at previous question (Automatic vlookup and multiply coefficients with R) and it gives an error I haven’t been able to solve.

New dataset:Brazil’s Bovespa index

(sp<-read.csv(“http://www.bolsapt.com/download/historico/%5EBVSP/de-01-01-2000-a-04-02-2013/“)

spLag <- lag(sp)

Error in hasTsp(x) : invalid time series parameters specified

Best regards

Answer 1

@JoshuaUlrich used getSymbols which returns an xts object by default. xts objects are specifically designed to work with time series data. You’re trying to apply the same code to a data.frame which is a more general data class. To create an xts object, you must provide a timeBased index.

sp.xts <- xts(sp[, 5:9], order.by=as.Date(sp[, 3], format="%Y%m%d"))
spLag <- lag(sp.xts)

The above converts the YYYYMMDD column to proper Dates and uses that as the index. Note that all columns of an xts object must be of the same class, so I only included numeric columns.