do.call with cbind and lags of a variable - r

Question

I want to create a function that produces a matrix containing several lags of a variable. A simple example that works is
a <- ts(1:10)
cbind(a, lag(a, -1))
To do this for multiple lags, I have
lagger <- function(var, lags) {
### Create list of lags
lagged <- lapply(1:lags, function(x){
lag(var, -x)
})
### Join lags together
do.call(cbind, list(var, lagged))
}
Using the above example gives unexpected results;
lagger(a, 1)
gives a length 20 list with the original time series broken out into separate list slots and the final 10 each being a replication of the lagged series.
Any suggestions to getting this working? Thanks!

Answer 1

This gives a lag of 0 and of 1.
library(zoo)
a <- ts(11:13)
lags <- -(0:1)
a.lag <- as.ts(lag(as.zoo(a), lags))
Now a.lag is this:
> a.lag
Time Series:
Start = 1
End = 4
Frequency = 1
lag0 lag-1
1 11 NA
2 12 11
3 13 12
4 NA 13
If you don't want the NA entries then use: as.ts(na.omit(lag(as.zoo(a), lags))) .

Answer 2

Based on #Joshua Ulrich answer.
I thinkd embed is the correct answer but you get the vectors in the other way around. I mean using embed you'll get the lagged series not in the proper order, see the following
lagged <- embed(a,4)
colnames(lagged) <- paste('t', 3:0, sep='-')
lagged
t-3 t-2 t-1 t-0
[1,] 4 3 2 1
[2,] 5 4 3 2
[3,] 6 5 4 3
[4,] 7 6 5 4
[5,] 8 7 6 5
[6,] 9 8 7 6
[7,] 10 9 8 7
this gives the correct answer to you but not in the correct order, since the lags are in descending order.
But it you reorder just like this:
lagged_OK <- lagged[,ncol(lagged):1]
colnames(lagged_OK) <- paste('t', 0:3, sep='-')
lagged_OK
lag.0 lag.1 lag.2 lag.3
[1,] 1 2 3 4
[2,] 2 3 4 5
[3,] 3 4 5 6
[4,] 4 5 6 7
[5,] 5 6 7 8
[6,] 6 7 8 9
[7,] 7 8 9 10
Then, you get the right lagged matrix.
I add colnames only for explanation purpose, you can just do:
embed(a,4)[ ,4:1]
If you really want a lagger function, try this
lagger <- function(x, lag=1){
lag <- lag+1
Lagged <- embed(x,lag)[ ,lag:1]
colnames(Lagged) <- paste('lag', 0:(lag-1), sep='.')
return(Lagged)
}
lagger(a, 4)
lag.0 lag.1 lag.2 lag.3 lag.4
[1,] 1 2 3 4 5
[2,] 2 3 4 5 6
[3,] 3 4 5 6 7
[4,] 4 5 6 7 8
[5,] 5 6 7 8 9
[6,] 6 7 8 9 10
lagger(a, 1)
lag.0 lag.1
[1,] 1 2
[2,] 2 3
[3,] 3 4
[4,] 4 5
[5,] 5 6
[6,] 6 7
[7,] 7 8
[8,] 8 9
[9,] 9 10

Answer 3

I'm not sure what's wrong with your function, but you can probably use embed instead.
> embed(a,4)
[,1] [,2] [,3] [,4]
[1,] 4 3 2 1
[2,] 5 4 3 2
[3,] 6 5 4 3
[4,] 7 6 5 4
[5,] 8 7 6 5
[6,] 9 8 7 6
[7,] 10 9 8 7