Lagging Variables in R?

You can achieve this using the built-in embed() function, where its second 'dimension' argument is equivalent to what you've called 'lag': x.

More generally: lagmatrix Lag+1)} Then use lagmatrix(1:4,2) – Rob Hyndman Aug 23 '09 at 5:58 Thanks for the pointer to the embed function. This saved a massive amount of computing time for me. – James Aug 27 '09 at 15:17.

Use a proper class for your objects; base R has ts which has a lag() function to operate on. Note that these ts objects came from a time when 'delta' or 'frequency' where constant: monthly or quarterly data as in macroeconomic series. For irregular data such as (business-)daily, use the zoo or xts packages which can also deal (very well!) with lags.

To go further from there, you can use packages like dynlm or dlm allow for dynamic regression models with lags. The Task Views on Time Series, Econometrics, Finance all have further pointers.

The running function in the gtools package does more or less what you want: > require("gtools") > running(1:4, fun=I, width=3, allow. Fewer=TRUE) $`1:1` 1 1 $`1:2` 1 1 2 $`1:3` 1 1 2 3 $`2:4` 1 2 3 4.

Glad to see you're finally on here! – Christopher DuBois Aug 21 '09 at 16:55 But James wanted a matrix not a list. You could package the result using matrix(unlist(...)) but the embed() function does it in one step.

– Rob Hyndman Aug 23 '09 at 5:56 Totally right, which is why I upvoted the embed() solution when it came out =). But 'running' is still a useful function I think --- most of the time when I wanted to create the matrix James asked for, what I really wanted to do was run apply on it. – Jonathan Chang Aug 23 '09 at 16:46.

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