[R-SIG-Finance] Listed below is my coding and error message:

[Wei-han Liu]

Hi R users:

I am applying the package plm to attached high-frequency financial data for panel data analysis. Listed below is my coding and error message:

rm(list=ls())
library("plm")
toydata <-
read.csv("D:/............./toydata.csv",header=TRUE,sep =
",");
summary(toydata)
# toydata <-
pdata.frame(toydata, index = c("SECCODE",
"TDATE"), drop.index = TRUE, row.names = TRUE)
 
# estimation of the error components
toydata.out <-
plm(data=toydata, RETURN ~ IOB + IOBS, random.method="walhus",
effect="twoways", model='random')

ERROR MESSAGE:
duplicate couples (time-id)
error in pdim.default(index[[1]], index[[2]]) : 
 
Please help and advise what I should do to
fix this problem about index. Do I need to pre-process the data or else? 

Thanks for your kind attention.

Wei-han
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