get_lag: Time-Indexed Lag Extraction with Explicit Gaps

In Westerlund: Panel Cointegration Tests Based on Westerlund (2007)

Time-Indexed Lag Extraction with Explicit Gaps

Description

Extracts lagged (or led) values from a time-indexed vector using a strict time-based lookup. The function respects gaps in the time index and returns NA when the requested lagged time does not exist, mirroring the behaviour of Stata’s time-series lag/lead operators.

Usage

get_lag(vec, tvec, k)

Arguments

vec	A numeric (or atomic) vector of observations.
tvec	A vector of time indices corresponding one-to-one with vec. Each value must uniquely identify a time period within the series.
k	Integer. The lag order. Positive values correspond to lags (e.g., k = 1 for t-1), while negative values correspond to leads (e.g., k = -1 for t+1).

Details

This helper function performs strict time-based lagging rather than position-based shifting. Internally, it constructs a mapping from time indices to observed values:

val_map <- setNames(vec, tvec)

For each observation at time t, the function retrieves the value associated with time t - k. If that time value is not present in tvec, the result is NA.

This behaviour is particularly important when working with irregular time series or panel data with gaps. In such cases, simple vector shifting can incorrectly carry values across missing time periods, while get_lag() preserves the correct alignment.

No interpolation, padding, or reordering is performed; missing time periods propagate as NA in the lagged (or led) series.

Value

A vector of the same length as vec, containing the lagged (or led) values aligned by the time index. Elements are NA when the requested time period does not exist.

Technical Background

This section illustrates the logic of get_lag() and explains how it differs from standard position-based lagging.

Why not simple shifting?

In many applications, lags are computed by shifting vectors by positions. This implicitly assumes a complete and regular time index. When time periods are missing, such shifting produces incorrect lag values. get_lag() avoids this by explicitly matching on time values.

Relation to Stata operators

The function mirrors the behaviour of Stata’s time-series operators:

• L.x: lagged value at t-1,

• L2.x: lagged value at t-2,

• F.x: lead value at t+1.

As in Stata, gaps in the time index result in missing values in the lagged series.

See Also

get_ts_val, westerlund_test, calc_lrvar_bartlett

Examples

## Example 1: Regular time series
t <- 1:5
x <- c(10, 20, 30, 40, 50)

get_lag(x, t, k = 1)
# [1] NA 10 20 30 40

get_lag(x, t, k = -1)
# [1] 20 30 40 50 NA

## Example 2: Time series with a gap
t_gap <- c(1, 2, 4, 5)
x_gap <- c(10, 20, 40, 50)

get_lag(x_gap, t_gap, k = 1)
# [1] NA 10 NA 40

## Explanation:
## At t = 4, the requested time t-1 = 3 does not exist, so NA is returned.

## Example 3: Higher-order lags
get_lag(x_gap, t_gap, k = 2)
# [1] NA NA NA 20

Westerlund documentation built on Feb. 7, 2026, 5:07 p.m.