creating lagged variables
The problem is the representation. If we transform it into a zoo time series, z, with one series per column and one time point per row then we can just merge the series with its lag.
DF <- data.frame(id = c(1, 1, 1, 2, 2, 2), time = c(1, 2,
+ 3, 1, 2, 3), value = c(-0.56047565, -0.23017749, 1.55870831, + 0.07050839, 0.12928774, 1.71506499))
library(zoo) z <- do.call(merge, by(DF, DF$id, function(x) zoo(x$value, x$time))) merge(z, lag(z, -1))
1.z 2.z 1.lag(z, -1) 2.lag(z, -1) 1 -0.5604756 0.07050839 NA NA 2 -0.2301775 0.12928774 -0.5604756 0.07050839 3 1.5587083 1.71506499 -0.2301775 0.12928774 On Dec 13, 2007 1:21 PM, Antonio, Fabio Di Narzo
<antonio.fabio at gmail.com> wrote:
Hi all. I'm looking for robust ways of building lagged variables in a dataset with multiple individuals. Consider a dataset with variables like the following: ## set.seed(123) d <- data.frame(id = rep(1:2, each=3), time=rep(1:3, 2), value=rnorm(6)) ##
d
id time value
1 1 1 -0.56047565
2 1 2 -0.23017749
3 1 3 1.55870831
4 2 1 0.07050839
5 2 2 0.12928774
6 2 3 1.71506499
I want to compute the lagged variable 'value(t-1)', taking subject id
into account.
My current effort produced the following:
##
my_lag <- function(dt, varname, timevarname='time', lag=1) {
vname <- paste(varname, if(lag>0) '.' else '', lag, sep='')
timevar <- dt[[timevarname]]
dt[[vname]] <- dt[[varname]][match(timevar, timevar + lag)]
dt
}
lag_by <- function(dt, idvarname='id', ...)
do.call(rbind, by(dt, dt[[idvarname]], my_lag, ...))
##
With the previous data I get:
lag_by(d, varname='value')
id time value value.1 1.1 1 1 -0.56047565 NA 1.2 1 2 -0.23017749 -0.56047565 1.3 1 3 1.55870831 -0.23017749 2.4 2 1 0.07050839 NA 2.5 2 2 0.12928774 0.07050839 2.6 2 3 1.71506499 0.12928774 So that seems working. However, I was thinking if there is a smarter/cleaner/more robust way to do the job. For instance, with the above function I get dataframe rows re-ordering as a side-effect (anyway this is of no concern in my current analysis)... Any suggestion? All the bests, Fabio. -- Antonio, Fabio Di Narzo Ph.D. student at Department of Statistical Sciences University of Bologna, Italy
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