[R-SIG-Finance] Return calculation for panel data structure

[Arsenio]

Robert,

Thanks for the reply. I tried plm approach but apparently it only accepts one individual id and one time id, because this fails

> zz=pdata.frame(z, c("Stock","Fund","Date"))
Error in match(x, table, nomatch = 0L) : 
  'match' requires vector arguments

Any approach that accepts several individual observation identifiers? I will take a look at the econometrics view on CRAN

Btw, sorry if the post came out mangled due to HTML, didn't check.

Thanks,

Arsenio

Tuesday, March 6, 2012, 5:24:35 AM, you wrote:


Use diff and lag from plm:
 
Lines="ticker date_f  date prc iticker 
A 20-Jun-03  15876 19.06 IXT 
A 23-Jun-03  15879 18.89 IXT 
A 24-Jun-03  15880 18.75 IXT 
A 25-Jun-03  15881 18.92 IXT 
A 26-Jun-03  15882 19.35 IXT 
A 27-Jun-03  15883 19.55 IXT 
AA 20-Jun-03 15876 26.24 IXB 
AA 23-Jun-03 15879 25.07 IXB 
AA 24-Jun-03 15880 24.96 IXB 
AA 25-Jun-03 15881 24.51 IXB 
AA 26-Jun-03 15882 25.24 IXB 
AA 27-Jun-03 15883 25.09 IXB 
AA 30-Jun-03 15886 25.5 IXB 
"
z <- read.table(textConnection(Lines), header = TRUE)
library(plm)
zz=pdata.frame(z, c("ticker","date"))
pr=zz$prc; str(pr)
zz$return=diff(pr)/lag(pr)
zz
 
Good luck!
 
Robert
 
From: Arsenio
Sent: Tuesday, March 06, 2012 2:47 AM
To: r-sig-finance at r-project.org
Subject: [R-SIG-Finance] Return calculation for panel data structure
 
Dear all,

I have a very simple question and i haven't been able to code it out. It's a simple return calculation of a form:
R(t)=(P(t)-P(t-1))/P(t-1) or the same as ratio of prices minus one. However it's in the panel data, where stocks belong to say a fund or some other grouping variable.


ticker
date_f

date
prc
iticker
A
20-Jun-03

15876
19.06
IXT
A
23-Jun-03

15879
18.89
IXT
A
24-Jun-03

15880
18.75
IXT
A
25-Jun-03

15881
18.92
IXT
A
26-Jun-03

15882
19.35
IXT
A
27-Jun-03

15883
19.55
IXT
AA
20-Jun-03

15876
26.24
IXB
AA
23-Jun-03

15879
25.07
IXB
AA
24-Jun-03

15880
24.96
IXB
AA
25-Jun-03

15881
24.51
IXB
AA
26-Jun-03

15882
25.24
IXB
AA
27-Jun-03

15883
25.09
IXB
AA
30-Jun-03

15886
25.5
IXB



In  SAS, I would do it this way:

data work.1; /* This Calcs the excluded index return for INDEX constructed with PRICES (PR)!!!! */
       set work.1;
       by ticker iticker date_f ; /*sorting by stock, fund and date */

       lag_prc=lag(prc); /* creating the lagged price variable

       if first.iticker then /* if the it's a first date for the grouped unit then.. */
               lag_prc= . ; /* setting the first lagged value to missing if the first date for the grouped unit */
       return = (prc - lag_prc)/ lag_prc;
       drop lag_prc;
run;

The end result would be the same dataset with just one more column for returns for each stock, fund, date combination with the first return for the date set to missing.
I tried Return.calculate type of funcs from performance analytics and other solutions using plyr or loops, but they are all too bulky.

Any ideas how to accomplish this? Would appreciate any hints,

Arsenio 

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-- 
Best regards,
 Arsenio                            mailto:arsenio.star at gmail.com