Question

I want to create a function that produces a matrix containing several lags of a variable. A simple example that works is

a <- ts(1:10)
cbind(a, lag(a, -1))

To do this for multiple lags, I have

lagger <- function(var, lags) {

  ### Create list of lags
  lagged <- lapply(1:lags, function(x){
    lag(var, -x)
  })

  ### Join lags together
  do.call(cbind, list(var, lagged))
}

Using the above example gives unexpected results;

lagger(a, 1)

gives a length 20 list with the original time series broken out into separate list slots and the final 10 each being a replication of the lagged series.

Any suggestions to getting this working? Thanks!

Answer 1

This gives a lag of 0 and of 1.

library(zoo)
a <- ts(11:13)
lags <- -(0:1)

a.lag <- as.ts(lag(as.zoo(a), lags))

Now a.lag is this:

> a.lag
Time Series:
Start = 1 
End = 4 
Frequency = 1 
  lag0 lag-1
1   11    NA
2   12    11
3   13    12
4   NA    13

If you don’t want the NA entries then use: as.ts(na.omit(lag(as.zoo(a), lags))) .