[R-SIG-Finance] plm package: variable lengths differ

[Wei-han Liu]

Hi R users:
I am conducting high frequency data analysis based on plm package. It works fine for the dataset with lower data frequency but not for 1-min dataset. Listed below is the error message:pooltest(form,  data  =  E,  effect  =  "individual",  model  =  "within")Error in model.frame.default(terms(formula, lhs = lhs, rhs = rhs, data = data),  :  variable lengths differ (found for 'lag(IOB, k = 1)')Calls: pooltest ... model.frame.Formula -> model.frame -> model.frame.defaultExecution halted
I have encountered the same error message when I tried the other functions for testing and estimation in package plm. I check the original dataset and all the columns are of the same length but the error message indicates otherwise: variable lengths differ (found for 'lag(IOB, k = 1)'). lag(IOB, k = 1) denotes the lagged term of variable IOB with one period. 
I googled and found some people raised the similar question but no helpful tip is provided yet. For example, R help - length of variable in mlogit

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  Could some people share advice and help in this regard?
Best regards,
Weihan
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