[R-SIG-Finance] panel data in R

[Alexander Chernyakov]

Hi,
This question is of a general nature: How do people handle panel data
in R?  For example,  I have returns of firms and each firm has daily
observations.  One way is to use the plm package.. another is to use
plyr and just do the operations on (date, firmid) units using
something like zoo as a container for each firm so that lagging and
differencing can be done.  For regression it seems that plm might be
the better option?  Just curious if somebody has a well worked out
system for this.

Thanks
Alex