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- require("xts")
- data(sample_matrix)
- xtsObject <- as.xts(sample_matrix, descr="my new xts object")
- ## the example ts has several variables Open High Low Close,
- ## here I take just one, "Open"
- df <- data.frame(xtsObject['/'][,"Open"], Time = index(xtsObject))
- head(df)
- > head(df)
- Open Time
- 2007-01-02 50.03978 2007-01-02
- 2007-01-03 50.23050 2007-01-03
- 2007-01-04 50.42096 2007-01-04
- 2007-01-05 50.37347 2007-01-05
- 2007-01-06 50.24433 2007-01-06
- 2007-01-07 50.13211 2007-01-07
- mod <- lm(Open ~ Time, data = df)
- summary(mod)
- > mod <- lm(Open ~ Time, data = df)
- > summary(mod)
- Call:
- lm(formula = Open ~ Time, data = df)
- Residuals:
- Min 1Q Median 3Q Max
- -1.16144 -0.47952 -0.08462 0.57053 1.44329
- Coefficients:
- Estimate Std. Error t value Pr(>|t|)
- (Intercept) 3.199e+02 1.199e+01 26.68 <2e-16 ***
- Time -2.302e-07 1.020e-08 -22.57 <2e-16 ***
- ---
- Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1
- Residual standard error: 0.6146 on 178 degrees of freedom
- Multiple R-squared: 0.741, Adjusted R-squared: 0.7395
- F-statistic: 509.2 on 1 and 178 DF, p-value: < 2.2e-16
- > head(coredata(xtsObject))
- Open High Low Close
- [1,] 50.03978 50.11778 49.95041 50.11778
- [2,] 50.23050 50.42188 50.23050 50.39767
- [3,] 50.42096 50.42096 50.26414 50.33236
- [4,] 50.37347 50.37347 50.22103 50.33459
- [5,] 50.24433 50.24433 50.11121 50.18112
- [6,] 50.13211 50.21561 49.99185 49.99185
- data(sample_matrix)
- xtsObject <- as.xts(sample_matrix, descr="my new xts object")
- #Option 1, the best by far, no need to transform to a data.frame
- library(dynlm)
- dynlm(Open ~ trend(Open), data = xtsObject)
- #Option 2, another option
- library(dynlm)
- xtsObject$t <- 0:(nrow(xtsObject)-1)
- dynlm(Open ~ t, data = xtsObject)
- #Option 3, the data.frame route
- df <- data.frame(xtsObject['/'][,"Open"], t = 1:nrow(xtsObject))
- lm(Open ~ t, df)
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