Multiple lag() in TimeSeries doesn't work in one line

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Hello Julia users!

I have been playing with TimeSeries package and found one operation that doesn’t make much sense to me. I know that applying lag() to a Tx1 TimeArray A creates a (T-1)x1 TimeArray and lag(A)./A creates a (T-1)x1 TimeArray. However, doing this to different TimeArrays in one line does not work. Please have a look at the code below for illustration:

using InstantiateFromURL; github_project("QuantEcon/quantecon-notebooks-julia", version = "0.8.0")
using LinearAlgebra, Statistics, Distributions, Random
using CSV, DataFrames
using TimeSeries

t = collect(Date(1998, 1, 1):Month(1):Date(2000, 2, 1))
v1 = randn(26)
v2 = randn(26)
df = DataFrame()
df = DataFrame(x=v1,y=v2,date=t)
tArray = TimeArray(df,timestamp=:date)

x= tArray.x
y= tArray.y
A= x./lag(x)
B= lag(y)./y

C= A.*B
z = (x./lag(x)).*(lag(y)./y)strong text

C takes 25×1 TimeArray{Float64,1,Date,Array{Float64,1}}, a result I wanted. However, C returns an error:

DimensionMismatch("arrays could not be broadcast to a common size; got a dimension with lengths 25 and 26")

Is this behavior a known issue? Or is there something I am missing that it makes sense that it should not work?

Thank you for your input!

2

PS: I immediately found a workaround, z = (x./lag(x,padding=true)).*(lag(y,padding=true)./y), to manually set lag() to create the vector of same size in all x, lag(x), y, lag(y). However, since C and z are essentially the same, I expect both to produce the same result. If you know why it is designed to return an error, please let me know!