regressions with xts in R

Question

Is there a utility to run regressions using xts objects of the following type:

lm(y ~ lab(x, 1) + lag(x, 2) + lag(x,3), data=as.data.frame(coredata(my_xts)))
         


        

Answer 1

Since you are already removing the data from the xts environment, I'm not using any xts features here. There is an embed function that will construct a "lagged" matrix to any desired degree. (I never understood the time-series lag function.) (the order of the embed-lagged variables is reversed from what I would have expected.)

 embed(1:6, 3)
#--------
     [,1] [,2] [,3]
[1,]    3    2    1
[2,]    4    3    2
[3,]    5    4    3
[4,]    6    5    4
#Worked example   ... need to shorten the y variable
y <- rnorm(20)
x <- rnorm(20)
lm( tail(y, 18) ~ embed(x, 3) )
#-------------------
Call:
lm(formula = tail(y, 18) ~ embed(x, 3))

Coefficients:
 (Intercept)  embed(x, 3)1  embed(x, 3)2  embed(x, 3)3  
    -0.12452      -0.34919       0.01571       0.01715  

It was a relief to note that after changing the lags to match those used by @GGrothendieck that we get identical results:

 lm( tail(xx[,"y1"], NROW(xx)-3) ~ embed(xx[,"x1"], 4)[,2:4] )

Call:
lm(formula = tail(xx[, "y1"], NROW(xx) - 3) ~ embed(xx[, "x1"], 
    4)[, 2:4])

Coefficients:
                 (Intercept)  embed(xx[, "x1"], 4)[, 2:4]1  embed(xx[, "x1"], 4)[, 2:4]2  
                     3.80530                       0.04995                      -0.12042  
embed(xx[, "x1"], 4)[, 2:4]3  
                     0.46631