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Relative subscripting

5 messages · Tobias Muhlhofer, (Ted Harding), Kjetil Halvorsen +1 more

Original
Tobias Muhlhofer
# 
Hi!

I'm trying to do the following.

I have monthly a dataset with, among other things, "marketcap", and 
"return".

I want to multiply return by the marketcap of the previous month. How do 
I do this?

In STATA (which I have used frequently in the past) I would simply use 
an expression of the form

return[_n]*marketcap[_n-1]

I believe they call this relative subscripting. Is there something like 
this in R?

On a completely different note, are there books on R? I read the 
"Getting Started" notes, but, while helpful, I would need more than those.

Thanks,
	Toby
(Ted Harding)
#
On 30-Nov-04 Tobias Muhlhofer wrote:
Not as such, as far as I know. But there's an easy way to achieve
the same effect:

Let

  N<-length(return)
  new.var <- return[2:N]*marketcap[1:(N-1)]

Notes:
1. Note the parantheses in "1:(N-1)".
     > 1:(6-1)
     [1] 1 2 3 4 5
     > 1:6-1
     [1] 0 1 2 3 4 5
   (i.e. ":" is evaluated before "-")

2. You could also define n <- 2:(N-1) in which case you could
   definitely write

     return[n]*marketcap[n-1]

   which looks very similar to what you wrote, but I don't
   know whether it implies the same underlying mechanism.


3. I'm not sure you should use "return" as the name of a variable,
   since it's a predefined function in R, which you can put in a
   function definition to tell it what to return:
     > sq<-function(x){return(x^2)}
     > sq(4)
     [1] 16

   In my experiments, it didn't seem to change this behaviour
   to assign something to "return", e.g. return<-2, even inside
   the function definition; but I'd recommend avoiding the practice!

   You could avoid it here by using "Return" instead of "return"
   for the name of your variable.

Best wishes,
Ted.


--------------------------------------------------------------------
E-Mail: (Ted Harding) <Ted.Harding at nessie.mcc.ac.uk>
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Date: 30-Nov-04                                       Time: 21:34:02
------------------------------ XFMail ------------------------------
Kjetil Halvorsen
#
Tobias Muhlhofer wrote:

            

      
      
      
    

        
Q 2.7 in the R faq (yes, there are many)!

Kjetil

            

      
      
      
    

        

      
      
    

        

  
    

      
      
    

  


  


      

    

    

      
      

        


  

        

      Tobias Muhlhofer
    

    

      
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OK, yeah. I did think of that in the meantime, but I was also wondering 
if there was some other convenience function to do it. But this will do 
in any case.

Toby

        
Jean Eid wrote:

            

      
      
      
    

        

      
      
    

            

      
      
      
    

        

  
    

      
      
    

  


  


      

    

    

      
      

        


  

        

      Jean Eid
    

    

      
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wouldn't it be return[2:NROW(return)]*marketcap[1:(NROW(return)-1)]

(note that return is also a function in R so maybe you should stay away
from calling your variable return. Anyways if you have a data frame you
can add another variable to it but attach an NA to the first element
(since you are lagging variables) i.e.

mydata$myvar<-c(NA, mydata$return[2:nrow(mydata)]*mydata$marketcap[1:(nrow(mydata)-1)]


Jean

        
On Tue, 30 Nov 2004, Tobias Muhlhofer wrote: