How to make a lagged variable in panel data?
On 8/13/05, Ila Patnaik <ila at mayin.org> wrote:
Suppose we observe N individuals, for each of which we have a
time-series. How do we correctly create a lagged value of the
time-series variable?
As an example, suppose I create:
A <- data.frame(year=rep(c(1980:1984),3),
person= factor(sort(rep(1:3,5))),
wage=c(rnorm(15)))
> A
year person wage 1 1980 1 0.17923212 2 1981 1 0.25610292 3 1982 1 0.50833655 4 1983 1 -0.42448395 5 1984 1 0.49233532 6 1980 2 -0.49928025 7 1981 2 0.06842660 8 1982 2 0.65677575 9 1983 2 0.15947390 10 1984 2 -0.46585116 11 1980 3 -0.29052635 12 1981 3 -0.27109203 13 1982 3 -0.76168164 14 1983 3 0.02294361 15 1984 3 2.22828032 What I'd like to do is to make a lagged wage for each person, i.e., I should get an additional variable A$wage.lag1:
> A
year person wage wage.lag1 1 1980 1 0.17923212 NA 2 1981 1 0.25610292 0.17923212 3 1982 1 0.50833655 0.25610292 4 1983 1 -0.42448395 0.50833655 5 1984 1 0.49233532 -0.42448395 6 1980 2 -0.49928025 NA 7 1981 2 0.06842660 -0.49928025 8 1982 2 0.65677575 0.06842660 9 1983 2 0.15947390 0.65677575 10 1984 2 -0.46585116 0.15947390 11 1980 3 -0.29052635 NA 12 1981 3 -0.27109203 -0.29052635 13 1982 3 -0.76168164 -0.27109203 14 1983 3 0.02294361 -0.76168164 15 1984 3 2.22828032 0.02294361
We can use 'by' to split data frame A by person and to
apply the function f to each such subset of rows. Function f
makes that portion of wage which corresponds to a single
person into a ts class time series so that we can use lag
with it and then we cbind wage together with its lag. From
the cbind'ed result we extract out those times that
correspond to the original series since the example output
only includes those. Note that such extraction has a side
effect of turning wages into a matrix rather than a time
series. We then put every together using cbind(...) once
again and once the 'by' is complete we rbind all rows together.
f <- function(x) {
wage <- ts(x$wage, start = x$year[1])
idx <- seq(length = length(wage))
wages <- cbind(wage, lag(wage, -1))[idx,]
cbind(x[,1:2], wages)
}
result <- do.call("rbind", by(A, A$person, f))
result