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

Wei-han Liu weihanliu2002 at yahoo.com
Wed Nov 21 00:52:27 CET 2012

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:

toydata <-
read.csv("D:/............./toydata.csv",header=TRUE,sep =
# 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')

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.

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