Hi,
I have done the following:
library(foreign)
RNOM <- read.dta("Return Panel without missing.dta")
library(PerformanceAnalytics)
RNOM_list<-split(RNOM,RNOM$gvkey)
xtsList <- lapply(RNOM_list, function(x) {
attrCol <- c("conm")
numCol <- c("gvkey","prccm","trfm", "trt1m")
y <- xts(x[,numCol], as.Date(x$datadate,format="%d/%m/%Y"))
xtsAttributes(y) <- as.list(x[1,attrCol])
y
})
logreturns <- lapply(xtsList, function(x) {
Return.calculate(x$prccm, method = "log")
} )
Now I get, xts List of logreturns and xtsList of my data.
Can anyone please tell me, how can I merge logreturns with my original
dataframe or xtsList; and export it as a csv/excel file for further regression
analysis (after merging the file needs to look like panel data)?
The description of variables is as follows:
datadate long %d Data Date - Security Monthly
gvkey str6 %6s Global Company Key - Security
Monthly Descriptor
conm str58 %58s Company Name
prccm double %20.0g Price - Close - Monthly
trfm double %8.0g Monthly Total Return Factor
trt1m double %8.0g Monthly Total Return
gvkeynum long %8.0g gvkeynum Global Company Key - Security
Monthly Descriptor
The data can be downloaded from here:
https://drive.google.com/file/d/0B8usDJAPeV85ZG1MSHNDeFQtM28/edit?usp=sharing
Thanks & Regards,
Jairaj Gupta
PhD Finance Candidate
Hull University Business School
Student No. 201201551
Mobile: 00-44-(0)7795904913
SSRN Author: http://ssrn.com/author=1936478
Linkedin Profile: http://www.linkedin.com/pub/jairaj-gupta/54/13a/b61**************************************************
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