[R] Merging xts List created using panel data

[Joshua Ulrich]

This is related to:
http://stackoverflow.com/q/21393866/271616
http://stackoverflow.com/q/21484267/271616
--
Joshua Ulrich  |  about.me/joshuaulrich
FOSS Trading  |  www.fosstrading.com


On Tue, Feb 4, 2014 at 6:07 PM, Jairaj Gupta <J.Gupta at 2012.hull.ac.uk> wrote:
> 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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