On 30-Nov-04 Tobias Muhlhofer wrote:
[...] 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?
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)]
Ted, I aggree to all of your points, but we can simplify by negative indices (and hence circumvent your note 1):
return[-1] * marketcap[-N]
Uwe Ligges
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.
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