[R] convert weekly time series data to monthly
Richard Saba
sabaric at auburn.edu
Sun Mar 30 17:24:20 CEST 2008
I have weekly time series data with year, month, day, and price variables.
The input data set for the weekly series takes the following form:
Year month day price
1990 8 20 119.1
1990 8 27 124.5
1990 9 3 124.2
1990 9 10 125.2
1990 9 17 126.6
1990 9 24 127.2
1990 10 1 132.1
1990 10 8 133.3
1990 10 15 133.9
1990 10 22 134.5
1990 10 29 133.9
.. ... ... ...
... ... .... ....
2008 3 3 313.7
2008 3 10 320
2008 3 17 325.7
2008 3 24 322.4
I would like to collapse the data into monthly averages to merge with a
monthly series. The input data set for the monthly series takes the
following form:
M-Y Year Month Change
Aug-1990 1990 8 -226.871
Sep-1990 1990 9 -896.333
Oct-1990 1990 10 111.419
Nov-1990 1990 11 -364.2
Dec-1990 1990 12 -527.645
Jan-1991 1991 1 -70.935
Feb-1991 1991 2 231.214
Mar-1991 1991 3 -239
... ... ..... .. ....
The merged data set should be of class(ts).
I can perform the conversions outside of R and then import but I would
rather perform all conversions within R. I have looked through the zoo and
Rmetrics packages but without success.
Any help will be appreciated.
Thanks,
Richard Saba
Department of Economics
Auburn University
Email: sabaric at auburn.edu
Phone: 334 844-2922
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