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

[Manoj]

Thanks for your suggestion Achim.

Gabor,
       No lag takes a value range of 0 ~ 12 - and is tied to date.
20080320 take 0, a one month lag take the value of 20080218 and so on.

       Please let me know if you need more info.

Many thanks.

Manoj


On 4/15/08, Gabor Grothendieck <ggrothendieck at gmail.com> wrote:
> 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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