I noticed some strange xts behaviour when trying to split an object that goes back a long way. The behaviour of split changes at the epoch.
#Create some data
dates <- seq(as.Date("1960-01-01"),as.Date("1980-01-01"),"days")
x <- rnorm(length(dates))
data <- xts(x, order.by=dates)
If we split the xts object by week, it defines the last day of the week as Monday prior to 1970. Post-1970, it defines it as Sunday (expected behaviour).
#Split the data, keep the last day of the week
lastdayofweek <- do.call(rbind, lapply(split(data, "weeks"), last))
head(lastdayofweek)
tail(lastdayofweek)
This seems to only be a problem for weeks, not months or years.
#Split the data, keep the last day of the month
lastdayofmonth <- do.call(rbind, lapply(split(data, "months"), last))
head(lastdayofmonth)
tail(lastdayofmonth)
The behaviour seems likely to do with the following, though I am not sure why it would apply to weeks only. From the xts cran.
For dates prior to the epoch (1970-01-01) the ending time is aligned to the 59.0000 second. This is due to a bug/feature in the R implementation of asPOSIXct and mktime0 at the C-source level. This limits the precision of ranges prior to 1970 to 1 minute granularity with the current xts workaround.
My workaround has been to shift the dates before splitting the objects for data prior to 1970, if I am splitting on weeks. I expect someone else has a more elegant solution (or a way to avoid the error).
EDIT: To be clear as to what the question is, I am looking for an answer that a) specifies why this happens (so I can understand the nature of the error better, and therefore avoid it) and/or b) the best workaround to deal with it.
