[R] Making a markov transition matrix

Gabor Grothendieck ggrothendieck at gmail.com
Sun Jan 22 04:38:34 CET 2006


See:

http://finzi.psych.upenn.edu/R/Rhelp02a/archive/42934.html

On 1/21/06, Ajay Narottam Shah <ajayshah at mayin.org> wrote:
> Folks,
>
> I am holding a dataset where firms are observed for a fixed (and
> small) set of years. The data is in "long" format - one record for one
> firm for one point in time. A state variable is observed (a factor).
>
> I wish to make a markov transition matrix about the time-series
> evolution of that state variable. The code below does this. But it's
> hardcoded to the specific years that I observe. How might one
> generalise this and make a general function which does this? :-)
>
>           -ans.
>
>
>
> set.seed(1001)
>
> # Raw data in long format --
> raw <- data.frame(name=c("f1","f1","f1","f1","f2","f2","f2","f2"),
>                  year=c(83,   84,  85,  86,  83,  84,  85,  86),
>                  state=sample(1:3, 8, replace=TRUE)
>                  )
> # Shift to wide format --
> fixedup <- reshape(raw, timevar="year", idvar="name", v.names="state",
>                   direction="wide")
> # Now tediously build up records for an intermediate data structure
> try <- rbind(
>             data.frame(prev=fixedup$state.83, new=fixedup$state.84),
>             data.frame(prev=fixedup$state.84, new=fixedup$state.85),
>             data.frame(prev=fixedup$state.85, new=fixedup$state.86)
>             )
> # This is a bad method because it is hardcoded to the specific values
> # of "year".
> markov <- table(destination$prev.state, destination$new.state)
>
> --
> Ajay Shah                                      http://www.mayin.org/ajayshah
> ajayshah at mayin.org                             http://ajayshahblog.blogspot.com
> <*(:-? - wizard who doesn't know the answer.
>
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