Question

I have an object that I have created using the as.ts function in R, and now I would like a simple way to transform one of the variables and add it to the same ts object. So, for example

tsMloa <- ts(read.dta("http://www.stata-press.com/data/r12/mloa.dta"), frequency=12, start=1959)
tsMloa[, "meanLog"] <- tsMloa[,"log"] - mean(tsMloa[,"log"])

gives me a subscript out of bounds error. How can I get around this?

Answer 1

Firstly, you ought to consider adding require(foreign) to your example code, as it’s necessary to run your code.

I don’t know anything about *.dta files or their formatting, but i can tell you that if you’d like to work with time series in R, you’d do well to look into the zoo and xts family of functions.

With that in mind, try the following:

require(xts)
require(foreign)

tsMloa <- ts(read.dta("http://www.stata-press.com/data/r12/mloa.dta"), frequency=12, start=1959)

tt <- seq(as.Date("1959-01-01"), as.Date("1990-12-01"), by='mon')
tsMloa_x <- xts(unclass(tsMloa)[,1:3], order.by=tt)

tsMloa_x$meanLog <- tsMloa_x$log - mean(tsMloa_x$log)

That should do what you are looking for — and it gives you a reason to look into the very good packages.

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Doing it with zoo — plus i’ve created a function to turn your integers into months.

require(foreign)
require(zoo)

Mloa <- read.dta("http://www.stata-press.com/data/r12/mloa.dta"), frequency=12, start=1959)

intToMonth <- function(intMonth, origin = "1960-01-01"){
    dd <- as.POSIXlt(origin)
    ddVec <- rep(dd, length(intMonth))
    ddVec$mon  <- ddVec$mon + intMonth%%12
    ddVec$year <- ddVec$year + intMonth%/%12
    ddRet <- as.Date(ddVec)
    return(ddRet)
}

dateString <- intToMonth(Mloa[, 'tm'])

zMloa <- zoo(Mloa[, -2], dateString)
zMloa$meanLog <- zMloa$log - mean(zMloa$log)

As i see it, your problem is with converting the timestamps in the source file to something R understands and can work with. I found this part of adapting to R especially tricky.

The above function will take your month-integers, and turn them into a Date object. The resultant output will work with both zoo and xts as the order.by argument.

If you need to change the origin date, just supply the second argument to the function — i.e. otherDateString <- intToMonth(timeInts, "2011-01-01").