ret: Returns a data.frame of sequential lag matrix.

In pdR: Threshold Model and Unit Root Tests in Cross-Section and Time Series Data

Returns a data.frame of sequential lag matrix.

Description

ret() is similar to embed(), but returns a data.frame specified with colnames, not matrix.

Usage

ret(wts, k)

Arguments

wts	Univariate time series.
k	k-1 lagged terms.

Details

ret() is similar to embed(), but returns a data.frame with colnames, not matrix. Moreover, unlike embed(),ret() fills lagged cells with NA, instead of trimming them.

Value

A T by k dataframe returns. If you need 2 lags, you have to specify k=3, then it returns a dataframe with T by 3 dataframe, the first column is lag0.

Author(s)

Ho Tsung-wu <[e-mail]>, modifed from Javier Lopez-de-Lacalle

References

Javier Lopez-de-Lacalle in https://github.com/cran/uroot/blob/master/R/hegy.R

Examples

data(inf_Q)
y=inf_Q[,2]
ret(y,3)

pdR documentation built on Aug. 21, 2023, 5:06 p.m.