xts (version 0.14.2)

lag.xts: Lags and Differences of xts Objects

Description

Methods for computing lags and differences on xts objects. This provides similar functionality as the zoo counterparts, but with some different defaults.

Usage

# S3 method for xts
lag(x, k = 1, na.pad = TRUE, ...)
# S3 method for xts
diff(
  x,
  lag = 1,
  differences = 1,
  arithmetic = TRUE,
  log = FALSE,
  na.pad = TRUE,
  ...
)

Value

An xts object with the desired lag and/or differencing.

Details

The primary motivation for these methods was to take advantage of a faster C-level implementation. Another motivation was to make lag() behave using standard sign for k. Both zoo's lag() method and lag.default() require a negative value for k in order to shift a series backward. So k = 1, shifts the series forward one observation. This is especially confusing because k = 1 is the default for those functions. When x is an xts object, lag(x, 1) returns an object where the value at time 't' is the value at time 't-1' in the original object.

Another difference is that na.pad = TRUE by default, to better reflect the transformation visually and for functions the require positional alignment of data.

Set options(xts.compat.zoo.lag = TRUE) to use make lag.xts() consistent with lag.zoo() by reversing the sign of k and setting na.pad = FALSE.

References

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

Examples

x <- xts(1:10, Sys.Date()+1:10)
lag(x)    # currently using xts-style positive k 

lag(x, k=2)

lag(x, k=-1, na.pad=FALSE) # matches lag.zoo(x, k=1)

diff(x)
diff(x, lag=1)
diff(x, diff=2)
diff(diff(x))