R help - Aug 2011 - Efficient way of creating a shifted (lagged) variable?

Hello!

I have a data set:
set.seed(123)
y<-data.frame(week=seq(as.Date("2010-01-03"),
as.Date("2011-01-31"),by="week"))
y$var1<-c(1,2,3,round(rnorm(54),1))
y$var2<-c(10,20,30,round(rnorm(54),1))

# All I need is to create lagged variables for var1 and var2. I looked
around a bit and found several ways of doing it. They all seem quite
complicated - while in SPSS it's just a few letters (like LAG()). Here
is what I've written but I wonder. It works - but maybe there is a
very simple way of doing it in R that I could not find?
I need the same for "lead" (opposite of lag).
Any hint is greatly appreciated!

### The function I created:
mylag <- function(x,max.lag=1){   # x has to be a 1-column data frame
  
temp<-as.data.frame(embed(c(rep(NA,max.lag),x[[1]]),max.lag+1))[2:(max.lag+1)]
   for(i in 1:length(temp)){
     names(temp)[i]<-paste(names(x),".lag",i,sep="")
    }
  return(temp)
}

### Running mylag to get my result:
myvars<-c("var1","var2")
for(i in myvars) {
  y<-cbind(y,mylag(y[i]),max.lag=2)
}
(y)

-- 
Dimitri Liakhovitski
marketfusionanalytics.com

If you start looking at the time series classes (xts, zoo, etc) they have
very quick and flexible lag functions built in.

Might this be a slightly more efficient solution for the homebrew
implementation?

OurLag <- function(y, k=1) {
    t = y[,1,drop=F]; d = y[,-1,drop=F];
    if (is.matrix(y)) {rn = rownames(y); cn = colnames(y)} else {n names(y)}
    if (k >= 1) {
         d = rbind(matrix(NA,ncol=ncol(d), nrow = k), d)
         d = d[1:nrow(t),]
    } else {d = rbind(d[1:(nrow(d)+k),],matrix(NA,ncol=ncol(d), nrow = -k))}
    ans = data.frame(t,d)
   if (is.matrix(y)) {rownames(ans) = rn; colnames(ans) = cn} else
{names(ans) = n}
   return(ans)
}

Set k<0 for lead instead of lag.

Michael Weylandt

On Thu, Aug 4, 2011 at 11:24 AM, Dimitri Liakhovitski <
dimitri.liakhovitski@gmail.com> wrote:
> Hello!
>
> I have a data set:
> set.seed(123)
> y<-data.frame(week=seq(as.Date("2010-01-03"),
> as.Date("2011-01-31"),by="week"))
> y$var1<-c(1,2,3,round(rnorm(54),1))
> y$var2<-c(10,20,30,round(rnorm(54),1))
>
> # All I need is to create lagged variables for var1 and var2. I looked
> around a bit and found several ways of doing it. They all seem quite
> complicated - while in SPSS it's just a few letters (like LAG()). Here
> is what I've written but I wonder. It works - but maybe there is a
> very simple way of doing it in R that I could not find?
> I need the same for "lead" (opposite of lag).
> Any hint is greatly appreciated!
>
> ### The function I created:
> mylag <- function(x,max.lag=1){   # x has to be a 1-column data frame
>
>
temp<-as.data.frame(embed(c(rep(NA,max.lag),x[[1]]),max.lag+1))[2:(max.lag+1)]
>   for(i in 1:length(temp)){
>     names(temp)[i]<-paste(names(x),".lag",i,sep="")
>    }
>  return(temp)
> }
>
> ### Running mylag to get my result:
> myvars<-c("var1","var2")
> for(i in myvars) {
>  y<-cbind(y,mylag(y[i]),max.lag=2)
> }
> (y)
>
> --
> Dimitri Liakhovitski
> marketfusionanalytics.com
>
> ______________________________________________
> R-help@r-project.org mailing list
> https://stat.ethz.ch/mailman/listinfo/r-help
> PLEASE do read the posting guide
> http://www.R-project.org/posting-guide.html
> and provide commented, minimal, self-contained, reproducible code.
>
	[[alternative HTML version deleted]]

Thanks a lot, guys!
It's really helpful. But - to be objective- it's still quite a few
lines longer than in SPSS.
Dimitri

On Thu, Aug 4, 2011 at 2:36 PM, Daniel Nordlund <djnordlund at
frontier.com> wrote:
>
>
>> -----Original Message-----
>> From: r-help-bounces at r-project.org [mailto:r-help-bounces at
r-project.org]
>> On Behalf Of Dimitri Liakhovitski
>> Sent: Thursday, August 04, 2011 8:24 AM
>> To: r-help
>> Subject: [R] Efficient way of creating a shifted (lagged) variable?
>>
>> Hello!
>>
>> I have a data set:
>> set.seed(123)
>> y<-data.frame(week=seq(as.Date("2010-01-03"),
as.Date("2011-01-
>> 31"),by="week"))
>> y$var1<-c(1,2,3,round(rnorm(54),1))
>> y$var2<-c(10,20,30,round(rnorm(54),1))
>>
>> # All I need is to create lagged variables for var1 and var2. I looked
>> around a bit and found several ways of doing it. They all seem quite
>> complicated - while in SPSS it's just a few letters (like LAG()).
Here
>> is what I've written but I wonder. It works - but maybe there is a
>> very simple way of doing it in R that I could not find?
>> I need the same for "lead" (opposite of lag).
>> Any hint is greatly appreciated!
>>
>> ### The function I created:
>> mylag <- function(x,max.lag=1){ ? # x has to be a 1-column data
frame
>> ? ?temp<-
>>
as.data.frame(embed(c(rep(NA,max.lag),x[[1]]),max.lag+1))[2:(max.lag+1)]
>> ? ?for(i in 1:length(temp)){
>> ? ?
?names(temp)[i]<-paste(names(x),".lag",i,sep="")
>> ? ? }
>> ? return(temp)
>> }
>>
>> ### Running mylag to get my result:
>> myvars<-c("var1","var2")
>> for(i in myvars) {
>> ? y<-cbind(y,mylag(y[i]),max.lag=2)
>> }
>> (y)
>>
>> --
>> Dimitri Liakhovitski
>> marketfusionanalytics.com
>>
>
> Dimitri,
>
> I would first look into the zoo package as has already been suggested.
?However, if you haven't already got your solution then here are a couple of
functions that might help you get started. ?I won't vouch for efficiency.
>
>
> lag.fun <- function(df, x, max.lag=1) {
> ?for(i in x) {
> ? ?for(j in 1:max.lag){
> ? ? ?lagx <- paste(i,'.lag',j,sep='')
> ? ? ?df[,lagx] <- c(rep(NA,j),df[1:(nrow(df)-j),i])
> ? ?}
> ?}
> ?df
> }
>
> lead.fun <- function(df, x, max.lead=1) {
> ?for(i in x) {
> ? ?for(j in 1:max.lead){
> ? ? ?leadx <- paste(i,'.lead',j,sep='')
> ? ? ?df[,leadx] <- c(df[(j+1):(nrow(df)),i],rep(NA,j))
> ? ?}
> ?}
> ?df
> }
>
> y <- lag.fun(y,myvars,2)
> y <- lead.fun(y,myvars,2)
>
>
> Hope this is helpful,
>
> Dan
>
> Daniel Nordlund
> Bothell, WA USA
>
>
>


-- 
Dimitri Liakhovitski
marketfusionanalytics.com