R: Time Series and Panel Series

time-series-panel-series {collapse} | R Documentation

## Time Series and Panel Series

### Description

collapse provides the following functions to work with time-dependent data:

- `flag`, and the lag- and lead- operators `L` and `F` are S3 generics to efficiently compute sequences of lags and leads on ordered or unordered regular / balanced or irregular / unbalanced time series and panel data.

- Similarly, `fdiff`, `fgrowth`, and the operators `D`, `Dlog` and `G` are S3 generics to efficiently compute sequences of suitably lagged / leaded and iterated differences, log-differences and growth rates. `fdiff/D/Dlog` can also compute quasi-differences of the form x_t - ρ x_{t-1} or log(x_t) - ρ log(x_{t-1}) for log-differences.

- `fcumsum` is an S3 generic to efficiently compute cumulative sums on time series and panel data. In contrast to `cumsum`, it can handle missing values and supports both grouped and ordered computations.

- `psmat` is an S3 generic to efficiently convert panel-vectors or `plm::pseries` and data frames or `plm::pdata.frame`'s to panel series matrices and 3D arrays, respectively.

- `psacf`, `pspacf` and `psccf` are S3 generics to compute estimates of the auto-, partial auto- and cross- correlation or covariance functions for panel-vectors or `plm::pseries`, and multivariate versions for data frames or `plm::pdata.frame`'s.

### Table of Functions

S3 Generic |  | Methods |  | Description
`flag/L/F` |  | `default, matrix, data.frame, pseries, pdata.frame, grouped_df` |  | Compute (sequences of) lags and leads
`fdiff/D/Dlog` |  | `default, matrix, data.frame, pseries, pdata.frame, grouped_df` |  | Compute (sequences of lagged / leaded and iterated) (quasi-)differences or (quasi-)log-differences
`fgrowth/G` |  | `default, matrix, data.frame, pseries, pdata.frame, grouped_df` |  | Compute (sequences of lagged / leaded and iterated) growth rates (exact or via log-differencing, in percentage terms)
`fcumsum` |  | `default, matrix, data.frame, pseries, pdata.frame, grouped_df` |  | Compute cumulative sums
`psmat` |  | `default, pseries, data.frame, pdata.frame` |  | Convert panel data to matrix / array
`psacf` |  | `default, pseries, data.frame, pdata.frame` |  | Compute ACF on panel data
`pspacf` |  | `default, pseries, data.frame, pdata.frame` |  | Compute PACF on panel data
`psccf` |  | `default, pseries, data.frame, pdata.frame` |  | Compute CCF on panel data

### See Also

Collapse Overview, Data Transformations

[Package collapse version 1.7.6 Index]