Re: [R] Panel data handling (lags, growth rates)

From: Gabor Grothendieck <ggrothendieck_at_gmail.com>
Date: Mon 15 Aug 2005 - 01:11:44 EST

On 8/14/05, Ajay Narottam Shah <ajayshah@mayin.org> wrote:
> I have written two functions which do useful things with panel data
> a.k.a. longitudinal data, where one unit of observation (a firm or a
> person or an animal) is observed on a uniform time grid:
> - The first function makes lagged values of variables of your choice.
> - The second function makes growth rates w.r.t. q observations ago,
> for variables of your choice.
>
> These strike me as bread-and-butter tasks in dealing with panel
> data. I couldn't find these functions in the standard R
> libraries. They are presented in this email for two reasons. First,
> it'll be great if R gurus can look at the code and propose
> improvements. Second, it'll be great if some package-owner can adopt
> these orphans :-) and make them available to the R community.
>
> The two functions follow:
>
> library(Hmisc) # Am using Lag() in this.
>
> # Task: For a supplied list of variables (the list `lagvars'),
> # make new columns in a dataset denoting lagged values.
> # You must supply `unitvar' which identifies the unit that's
> # repeatedly observed.
> # You must supply the name of the time variable `timevar'
> # and you must tell a list of the lags that interest you (`lags')
> # Example:
> # paneldata.lags(A, "person", "year", c("v1","v2"), lags=1:4)
> paneldata.lags <- function(X, unitvar, timevar, lagvars, lags=1) {
> stopifnot(length(lagvars)>=1)
> X <- X[order(X[,timevar]),] # just in case it's not sorted.
>
> innertask <- function(Y, lagvars, lags) {
> E <- labels <- NULL
> for (v in lagvars) {
> for (i in lags) {
> E <- cbind(E, Lag(Y[,v], i))
> }
> labels <- c(labels, paste(v, ".l", lags, sep=""))
> }
> colnames(E) <- labels
> cbind(Y, E)
> }
>
> do.call("rbind", by(X, X[,unitvar], innertask, lagvars, lags))
> }
>
> # Task: For a supplied list of variables (the list `gvars'),
> # make new columns in a dataset denoting growth rates.
> # You must supply `unitvar' which identifies the unit that's
> # repeatedly observed.
> # You must supply the name of the time variable `timevar'
> # and you must tell the time periods Q (vector is ok) over which
> # the growth rates are computed.
> paneldata.growthrates <- function(X, unitvar, timevar, gvars, Q=1) {
> stopifnot(length(gvars)>=1)
> X <- X[order(X[,timevar]),]
>
> makegrowths <- function(x, q) {
> new <- rep(NA, length(x))
> for (t in (1+q):length(x)) {
> new[t] <- 100*((x[t]/x[t-q])-1)
> }
> return(new)
> }
>
> innertask <- function(Y, gvars, Q) {
> E <- labels <- NULL
> for (v in gvars) {
> for (q in Q) {
> E <- cbind(E, makegrowths(Y[,v], q))
> }
> labels <- c(labels, paste(v, ".g", Q, sep=""))
> }
> colnames(E) <- labels
> cbind(Y, E)
> }
>
> do.call("rbind", by(X, X[,unitvar], innertask, gvars, Q))
> }
>
> Here's a demo of using them:
>
> # A simple panel dataset
> A <- data.frame(year=rep(1980:1982,4),
> person=factor(sort(rep(1:4,3))),
> v1=round(rnorm(12),digits=2), v2=round(rnorm(12),digits=2))
>
> # Demo of creating lags for both variables v1 and v2 --
> paneldata.lags(A, "person", "year", c("v1","v2"), lags=1:2)
> # Demo of creating growth rates for v2 w.r.t. 1 & 2 years ago --
> paneldata.growthrates(A, "person", "year", "v2", Q=1:2)
>
>
>
>
> Finally, I have a question. In a previous posting on this subject,
> Gabor showed me that my code:
>
> # Blast this function for all the values that A$person takes --
> new <- NULL
> for (f in levels(A$person)) {
> new <- rbind(new,
> make.additional.variables(subset(A, A$person==f),
> nlags=2, Q=1))
> }
> A <- new; rm(new)
>
> can be replaced by one do.call() (as used above). It's awesome, but I
> don't understand it! :-) Could someone please explain how and why this
> works? I know by() and I see that when I do by(A,A$x), it gives me a
> list containing as many entries as are levels of A$x. I couldn't think
> of a way to force all this into one data frame; the best I could do
> was to do for (f in levels (A$person)) {} as shown here. The two
> functions above are using do.call() as Gabor used them, and they're
> awesome, but I don't understand why they work! The man page ?do.call
> was a bit too cryptic and I couldn't comprehend it. Where can I learn
> this stuff?
>

Don't know of a source, I just study code, but conceptually by just splits up the rows by the grouping argument giving a list of data frames and applies the function to each element of the list giving the result.

For example, if we write:

f <- function(x) colSums(x[,-5])
iris.by <- by(iris, iris$Species, f)

is the same as:

f <- function(x) colSums(x[,-5])
iris.split <- split(iris, iris$Species)
iris.lapply <- lapply(iris.split, f)

except that in the by case the result gets a class of "by".

In either of the above cases the result is a list of these three elements, i.e. these three data frames:

el1 <- iris.by[[1]]; el2 <- iris.by[[2]]; el3 <- iris.by[[3]]

Now, if g <- function(x,y)x+y then

        g(1,2)

is the same as

        do.call("g", list(1,2))

so going back the iris example, to rbind el1, el2 and el3 together we do this:

        rbind(el1, el2, el3)

which is the same as

        do.call("rbind", list(e1, e2, e3))

which is the same as

        do.call("rbind", iris.by)



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