PanelLag function

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

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.

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).

Returns

Vector containing one-lagged values of variable xj.

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)

Author(s)

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