# [R-SIG-Finance] question on zoo data manipulation

Gabor Grothendieck ggrothendieck at gmail.com
Tue Apr 15 01:51:39 CEST 2008

```Is lag always 0 or 1?

On Mon, Apr 14, 2008 at 8:30 AM, Manoj <manojsw at gmail.com> wrote:
> Hi Zoo-experts,
>      I am working on the data-set below.
>
> Ticker  Date    BrokerName      Acc_Yr  Measure lag
> XXX     20080320        BRK1    200806  2.2     0
> XXX     20080320        BRK1    200906  2.5     0
> XXX     20080320        BRK2    200806  2.3     0
> XXX     20080320        BRK2    200906  2.8     0
> XXX     20080320        BRK3    200806  3.3     0
> XXX     20080218        BRK1    200806  2.2     1
> XXX     20080218        BRK1    200906  2.5     1
> XXX     20080218        BRK2    200806  2.4     1
> XXX     20080218        BRK2    200906  2.8     1
>
>
>
> Using zoo object, Is there a quicker/efficient way of manipulating the
> data as per following criteria?
>
> 1) For any given date/lag - compute mean of column "measure" grouped
> by different broker & different accounting year?
>          so the output data-set should look like:
>
> Ticker  Date    Mean Measure    Acc_Yr  Lag
> XXX     20080320        2.6     200806  0
>
> 2) For any lag >= 1, calculate returns on  aggregate "measure"
> constrained on "intersection" of broker-name across lag 0 & lag 1 (so
> BRK3 should drop out) ?
>
> i.e:  the intermediate data-set should look like
>
> Ticker  Date    Mean Measure    Acc_Yr  Lag
> XXX     20080320        2.25    200806  0
> XXX     20080318        2.3     200806  1
>
>
> Note that for 200806, the mean changes from 2.6 as measured above to
> 2.25 (since BRK3 is dropped in calculation.  The final data-set should
> then be:
>
> Ticker  Date    Pct_Change      Acc_Yr  Lag
> XXX     20080218        0.02    200806  1
>
> --------------------
>
> I can accomplish the results using a combination of tapply &
> subsetting the data-set for each lag but I thought this kind of
> data-structure is ideal for zoo manipulation, hence the help request.
>
> Thanks in Advance.
>
> Manoj
>
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