PanelLag: Function for computing a vector of one-lagged values of xj, a...

In generalCorr: Generalized Correlations, Causal Paths and Portfolio Selection

Function for computing a vector of one-lagged values of xj, a variable from panel data.

Description

Panel data have a set of time series for each entity (e.g. country) arranged such that all time series data for one entity is together, and the data for the second entity should be below the entire data for first entity and so on for entities. In such a data setup, When a variable is lagged once, special care is needed to insert an NA for the first time point in the data (e.g. week) for each entity.

Usage

PanelLag(ID, xj, lag = 1)

Arguments

ID	Location of the column having time identities (e.g. week number).
xj	Data vector of variable to be lagged and is linked with the ID.
lag	Number of lags desired (lag=1 is the default).

Value

Vector containing one-lagged values of variable xj.

Author(s)

Prof. H. D. Vinod, Economics Dept., Fordham University, NY

Examples

## Not run: 
indiv=gl(6,12,labels=LETTERS[1:6])  
#creates A,A,A 12 times B B B also 12 times etc.
set.seed(99);cost=sample(30:90, 72, replace=TRUE)
revenu=sample(50:110, 72, replace=TRUE); month=rep(1:12,6)
df=data.frame(indiv,month,cost,revenu);head(df);tail(df)
L2cost=PanelLag(ID=month,xj=df[,'cost'], lag=2)
head(L2cost)
tail(L2cost)

gmcmtx0(cbind(revenu,cost,L2cost))

gmcxy_np(revenu,cost)

## End(Not run)

generalCorr documentation built on Oct. 10, 2023, 1:06 a.m.