Exercise

Align series to first and last day of month

Sometimes you may not be able to use convenience classes like yearmon to represent timestamps. This exercise will teach you how to manually align merged data to the timestamp representation you prefer.

First you merge the lower-frequency data with the aggregate data, then use na.locf() to fill the NA forward (or backward, using fromLast = TRUE). Then you can subset the result using the index of the object with the representation you prefer.

Your workspace contains FEDFUNDS, monthly_fedfunds (the result of apply.monthly(DFF, mean)), and merged_fedfunds (the result of merge(FEDFUNDS, monthly_fedfunds) where the monthly_fedfunds index is a Date). Note the NA values in merged_fedfunds.

Instructions

100 XP
  • Use na.locf() to fill the NA values in merged_fedfunds. Assign the result to merged_fedfunds_locf.
  • Subset merged_fedfunds_locf by index(monthly_fedfunds) to create an xts object with timestamps at month-end. Name the result aligned_last_day.
  • Use the fromLast argument to na.locf() to fill the NA values with the next observation. Assign the result to merged_fedfunds_locb.
  • Subset merged_fedfunds_locb by index(FEDFUNDS) to create an xts object with timestamps on the first of the month. Name the result aligned_first_day.