[R] convert weekly time series data to monthly
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 19908 20 119.1 19908 27 124.5 19909 3 124.2 19909 10 125.2 19909 17 126.6 19909 24 127.2 199010 1 132.1 199010 8 133.3 199010 15 133.9 199010 22 134.5 199010 29 133.9 .. ... ... ... ... ... 20083 3 313.7 20083 10 320 20083 17 325.7 20083 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 YearMonth Change Aug-199019908 -226.871 Sep-199019909 -896.333 Oct-1990199010 111.419 Nov-1990199011 -364.2 Dec-1990199012 -527.645 Jan-199119911 -70.935 Feb-199119912 231.214 Mar-199119913 -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: [EMAIL PROTECTED] Phone: 334 844-2922 __ 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.
Re: [R] convert weekly time series data to monthly
If I understand:
x.new - cbind('M.Y'=paste(month.abb[x$month], x$Year, sep=-), x[-3])
aggregate(list(Change=x.new$price),
list(M.Y=x.new[,M.Y], Year=x.new$Year,
Month=x.new$month), FUN=mean)
On 30/03/2008, Richard Saba [EMAIL PROTECTED] wrote:
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 YearMonth Change
Aug-1990 19908 -226.871
Sep-1990 19909 -896.333
Oct-1990 199010 111.419
Nov-1990 199011 -364.2
Dec-1990 199012 -527.645
Jan-1991 19911 -70.935
Feb-1991 19912 231.214
Mar-1991 19913 -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: [EMAIL PROTECTED]
Phone: 334 844-2922
__
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.
--
Henrique Dallazuanna
Curitiba-Paraná-Brasil
25° 25' 40 S 49° 16' 22 O
__
R-help@r-project.org mailing list
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PLEASE do read the posting guide http://www.R-project.org/posting-guide.html
and provide commented, minimal, self-contained, reproducible code.
Re: [R] convert weekly time series data to monthly
Do you mean merge them into a two column series of price for one column and change for another column? That is what I will assume since the result was not illustrated. Suggest you read the help files and the three vignettes in the zoo package. Also R News 4/1 has info on dates. If you were looking for OHLC representations then see the xts package which in turn uses zoo and read its documentation in addition to the above. library(zoo) # ensure you are using zoo 1.5.0 or later price.Lines - Year month day price 19908 20 119.1 19908 27 124.5 19909 3 124.2 19909 10 125.2 19909 17 126.6 19909 24 127.2 199010 1 132.1 199010 8 133.3 199010 15 133.9 199010 22 134.5 199010 29 133.9 20083 3 313.7 20083 10 320 20083 17 325.7 20083 24 322.4 price.DF - read.table(textConnection(price.Lines), header = TRUE) price - with(price.DF, zoo(price, as.Date(paste(Year, month, day, sep = - change.Lines - M-Y YearMonth Change Aug-199019908 -226.871 Sep-199019909 -896.333 Oct-1990199010 111.419 Nov-1990199011 -364.2 Dec-1990199012 -527.645 Jan-199119911 -70.935 Feb-199119912 231.214 Mar-199119913 -239 change - read.zoo(textConnection(change.Lines), header = TRUE, FUN = as.yearmon, format = %b-%Y, colClasses = c(character, NULL, NULL, numeric)) # convert change series to Date using last of month as the date time(change) - as.Date(time(change), frac = 1) merge(price, change) On Sun, Mar 30, 2008 at 11:24 AM, Richard Saba [EMAIL PROTECTED] wrote: 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 19908 20 119.1 19908 27 124.5 19909 3 124.2 19909 10 125.2 19909 17 126.6 19909 24 127.2 199010 1 132.1 199010 8 133.3 199010 15 133.9 199010 22 134.5 199010 29 133.9 .. ... ... ... ... ... 20083 3 313.7 20083 10 320 20083 17 325.7 20083 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 YearMonth Change Aug-199019908 -226.871 Sep-199019909 -896.333 Oct-1990199010 111.419 Nov-1990199011 -364.2 Dec-1990199012 -527.645 Jan-199119911 -70.935 Feb-199119912 231.214 Mar-199119913 -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: [EMAIL PROTECTED] Phone: 334 844-2922 __ 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. __ 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.
