Methods for computing lags and differences on `xts`

objects. This
matches most of the functionality of zoo methods, with some default
argument changes.

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`x` |
an |

`k` |
period to lag over |

`lag` |
period to difference over |

`differences` |
order of differencing |

`arithmetic` |
should arithmetic or geometric differencing be used |

`log` |
should (geometric) log differences be returned |

`na.pad` |
pad vector back to original size |

`...` |
additional arguments |

The primary motivation for having methods specific to `xts`

was to make use of faster C-level code within xts. Additionally,
it was decided that `lag`

's default behavior should
match the common time-series interpretation of that operator — specifically
that a value at time ‘t’ should be the value at time ‘t-1’
for a positive lag. This is different than `lag.zoo`

as well
as `lag.ts`

.

Another notable difference is that `na.pad`

is set to
TRUE by default, to better reflect the transformation visually
and within functions requiring positional matching of data.

Backwards compatability with zoo can be achieved by setting
`options(xts.compat.zoo.lag=TRUE)`

. This will change the
defaults of lag.xts to k=-1 and na.pad=FALSE.

An `xts`

object reflected the desired lag and/or differencing.

Jeffrey A. Ryan

http://en.wikipedia.org/wiki/Lag

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Questions? Problems? Suggestions? Tweet to @rdrrHQ or email at ian@mutexlabs.com.

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