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CCF function differ from standard R use
Hi to everyone, i'm new using the feast package but i wonder if this correct, i'm trying to verify a cross correlation so i have:
At this point i define y = e
and x = prod
When i set this same variables to stats::ccf
and forecasts::Ccf
and compare to feasts::CCF
This first two plots give the contrary direction to feasts::CCF
, Why this happens?
library(vars)
#> Loading required package: MASS
#> Loading required package: strucchange
#> Loading required package: zoo
#>
#> Attaching package: 'zoo'
#> The following objects are masked from 'package:base':
#>
#> as.Date, as.Date.numeric
#> Loading required package: sandwich
#> Loading required package: urca
#> Loading required package: lmtest
library(tsibble)
#>
#> Attaching package: 'tsibble'
#> The following object is masked from 'package:zoo':
#>
#> index
#> The following objects are masked from 'package:base':
#>
#> intersect, setdiff, union
library(feasts)
#> Loading required package: fabletools
library(tidyr)
library(forecast)
#> Registered S3 method overwritten by 'quantmod':
#> method from
#> as.zoo.data.frame zoo
data("Canada")
df <- Canada %>%
diff %>%
as_tsibble() %>%
pivot_wider(id_cols = index,names_from = key,values_from = value)
with(as.data.frame(diff(Canada)),
ccf(y = ts(e),
x = ts(prod),lag.max = 4))
with(as.data.frame(diff(Canada)),
Ccf(y = ts(e),
x = ts(prod),lag.max = 4))
df %>%
CCF(y = e,
x = prod,lag_max = 4) %>%
autoplot()
Created on 2021-11-22 by the reprex package (v2.0.1)
Thanks for this amazing project. I appreciate this!
Info:
R version 4.0.4 (2021-02-15)
Platform: x86_64-pc-linux-gnu (64-bit)
Running under: Debian GNU/Linux 11 (bullseye)
feasts_0.2.2
tsibble_1.0.1
fabletools_0.3.1
forecast_8.13
EDIT: I edit this post to use reprex package