[R-SIG-Finance] panel data in R

[Richard Herron]

What kind of models do plan on using?

If you plan on using time series models, then I suggest generating a
list where each entry is one firm. This will make it easy to fit
models with lapply.

If you plan on using panel models, then I suggest using PLM. It is
easy enough to manually code within and between estimators, but if you
use clustered standard errors or dynamic panel models, then PLM will
make you life a lot easier.

Richard Herron


On Fri, May 4, 2012 at 6:30 PM, Alexander Chernyakov
<alexander.chernyakov at gmail.com> wrote:
>
> 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
>
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