I have a panel data of stock returns, where after a certain year the coverage universe of stocks doubled. It looks a bit like this:
Year Stock 1 Stock 2 Stock 3 Stock 4
2000 5.1% 0.04% NA NA
2001 3.6% 9.02% NA NA
2002 5.0% 12.09% NA NA
2003 -2.1% -9.05% 1.1% 4.7%
2004 7.1% 1.03% 4.2% -1.1%
.....
Of course, I am trying to maximize my observations both in the time series and in the cross-section as much as possible. However, I am not sure which of these 3 ways to sort would be the most "academically honest":
Sort the years until 2001 using only stocks 1 and 2, and incorporate the remaining stocks in the calculations once they become available in 2003.
Only include those stocks in calculations that have been available since 2000, i.e. stocks 1 and 2. Ignore the remaining stocks altogether since we do not have the full return profile.
Start the sort in year 2003, to have a larger cross-section.
The reason why our coverage universe expands in 2003 is simply because the data provider I am using changed their methodology in that year and decided to track more stocks. Stocks 3 and 4 do exist before 2003, but I cannot use their past return data since I need to follow my data provider (for the second variable I am sorting on).
Thanks all!
I am using the portsort() package in R but this does not seem to work well with NA`s.
Related
I am currently doing k-means to cluster my data, however, I wish each cluster to appear once in each given year. I have searched for answers for a whole night but with no result. Would anyone have ideas upon this problem using R? Or is there any package I should look for ? Thanks.
More background infos :
I try to replicated the cluster of relationships, using the reported gender, education level and birth year. I am doing this because this is a survey data whose respondents are old people and they sometime will report inaccurate age or education infos. My main challenge now is that I wish to "have only one cluster labels in each survey year". For example, I do not want to see there are two cluster3 in survey year 2000. My data is like below :
survey year
relationship
gender
education level
birth year
k-means cluster
2000
41( first daughter)
0
3
1997
1
2003
41( first daughter)
0
3
1997
1
2000
42( second daughter)
0
4
1999
2
2003
42( second daughter)
0
4
1999
2
2000
42( third daughter)
0
5
1999
2
2003
42( third daughter)
0
5
2001
3
Thanks in advance.
--Update--
A more detailed description of the task:
The data set is a panel survey data asking elders for their health status, their relationships ( incl. sons, daughters, neighbors ). Since these older people are sometimes imprecise on their family's demographic information such as birth year, education level, etc., we might need to delete a big part of the data if it did not match.
(e.g., A reported his first son is 30 years old in 1997, while said his first son was 29 years old in 1999, this data could therefore be problematic). My task is to save as much data as possible if the imprecision is not that high.
Therefore I first mutated columns to check the precision of each family member (e.g., birth year error %in% c(-1,2)). Next, I run k-means if the family members are detected to be imprecise. In this way, I save much of the data. Although I did not solve the above problem, it rarely occurs that I can almost ignore or drop these observations.
I would like to combine two data frames. One is information for birds banded. The other is information on recovered banded birds. I would like to add the recovery data to the banding data, if the bird was recovered (not all birds were recovered). Unfortunately the full band number is not included in the banding data, only in the recovery data, so there is not a unique column to join them by.
One looks like this:
GISBLong
GISBLat
B Flyway
B Month
B Year
Band Prefix Plus
-85.41667
42.41667
8
5
2001
12456
-85.41655
36.0833
9
6
2003
21548
The other looks like this:
GISBLong
GISBLat
B Flyway
B Month
B Year
Band
R Month
R Year
-85.41667
42.41667
8
5
2001
124565482
12
2002
-85.41655
36.0833
9
6
2003
215486256
1
2004
I have tried '''merge''', '''ifelse''', '''dplyr-join''' with no luck. Any suggestions? Thanks in advance!
you should look up rbind(). That might do the trick. For it to work the data frames have to have the same columns. I'd suggest you to add missing columns to your first DF with dplyr::mutate() and later on eliminate useless rows.
I am working on building a model that can predict NFL games, and am looking to run full season simulations and generate expected wins and losses for each team.
Part of the model is based on a rating that changes each week based on whether or not a team lost. For example, lets say the Bills and Ravens each started Sundays game with a rating of 100, after the Ravens win, their rating now increases to 120 and the Bills decrease to 80.
While running the simulation, I would like to update the teams rating throughout in order to get a more accurate representation of the number of ways a season could play out, but am not sure how to include something like this within the loop.
My loop for the 2017 season.
full.sim <- NULL
for(i in 1:10000){
nflpredictions$sim.homewin <- with(nflpredictions, rbinom(nrow(nflpredictions), 1, homewinpredict))
nflpredictions$winner <- with(nflpredictions, ifelse(sim.homewin, as.character(HomeTeam), as.character(AwayTeam)))
winningteams <- table(nflpredictions$winner)
projectedwins <- data.frame(Team=names(winningteams), Wins=as.numeric(winningteams))
full.sim <- rbind(full.sim, projectedwins)
}
full.sim <- aggregate(full.sim$Wins, by= list(full.sim$Team), FUN = sum)
full.sim$expectedwins <- full.sim$x / 10000
full.sim$expectedlosses <- 16 - full.sim$expectedwins
This works great when running the simulation for 2017 where I already have the full seasons worth of data, but I am having trouble adapting for a model to simulate 2018.
My first idea is to create another for loop within the loop that iterates through the rows and updates the ratings for each week, something along the lines of
full.sim <- NULL
for(i in 1:10000){
for(i in 1:nrow(nflpredictions)){
The idea being to update a teams rating, then generate the win probability for the week using the GLM I have built, simulate who wins, and then continue through the entire dataframe. The only thing really holding me back is not knowing how to add a value to a row based on a row that is not directly above. So what would be the easiest way to update the ratings each week based on the result of the last game that team played in?
The dataframe is built like this, but obviously on a larger scale:
nflpredictions
Week HomeTeam AwayTeam HomeRating AwayRating HomeProb AwayProb
1 BAL BUF 105 85 .60 .40
1 NE HOU 120 90 .65 .35
2 BUF LAC NA NA NA NA
2 JAX NE NA NA NA NA
I hope I explained this well enough... Any input is greatly appreciated, thanks!
First time posting a question here. Useless times this forum helped, but now, I fell my R skills are not strong enough to do the job.
My problem is: I have a Spatial Data frame with multiples attributes, such as Grid_code (pixels values, integer), Sub_Population(Character) and Origin_year (integer). I need to find the break values, in this case, 3 breaks values to place 1/4 of the pixels in each class - that will be 4 classes.
Also, this breaks will vary regarding the Sub_population and Origin_year unique combination.
SubPop Origin grid_code
AL 2008 4.730380
AL 2008 5.552315
AL 2008 5.968850
AL 2008 5.128384
AL 2009 6.927450
AL 2009 7.135734
ALCentral 2008 7.381087
ALCentral 2008 6.232927
ALCentral 2009 6.431800
ALCentral 2009 6.690246
ALCentral 2009 6.794144
That said, the breaks that will allocate the pixels into 4 different classes (1/4 of pixels in each class) will be a unique single set for each combination of Sub_population and Origin_Year.
What I'm thinking to do:
For each unique combination of Sub_population and Origin_year I'll create a df.
> cstands_spdf_split <- cstands_select_df[ which(
> cstands_select_df$SubPop == "AL" | cstands_select_df$Origin
> ==2008) , ]
Now I need to know for to define the breaks for this unique combination. I was thinking in using the split function with quantiles, but I don't know how this can be done...
Within the time and leaning I'll update this script to be used to run like a function.
Any feedback is appreciate.
I've got a set of 20 or so consecutive individual-level cross-sectional data sets which I would like to link together.
Unfortunately, there's no time-stable ID number; there are, however, fields for first, last, and maiden names, as well as year of birth--this should allow for a pretty high (90-95%) match rate, I presume.
Ideally, I would create a time-independent ID for each unique individual.
I can do this for those whose marital status (maiden name) does not change pretty easily in R--stack the data sets to get a long panel, then do something to the effect of:
unique(dt,by=c("first_name","last_name","birth_year"))[,id:=.I]
(I'm of course using R data.table), then merging back to the full data.
However, I'm stuck on how to incorporate the maiden name to this procedure. Any suggestions?
Here's a preview of the data:
first_name last_name nee birth_year year
1: eileen aaldxxxx dxxxx 1977 2002
2: eileen aaldxxxx dxxxx 1977 2003
3: sarah aaxxxx gexxxx 1974 2003
4: kelly aaxxxx nxxxx 1951 2008
5: linda aarxxxx-gxxxx aarxxxx 1967 2008
---
72008: stacey zwirxxxx kruxxxx 1982 2010
72009: stacey zwirxxxx kruxxxx 1982 2011
72010: stacey zwirxxxx kruxxxx 1982 2012
72011: stacey zwirxxxx kruxxxx 1982 2013
72012: jill zydoxxxx gundexxxx 1978 2002
UPDATE:
I've done a lot of chipping and hammering at the problem; here's what I've got so far. I would appreciate any comments for possible improvements to the code so far.
I'm still completely missing something like 3-5% of matches due to inexact matches ("tonya" vs. "tanya", "jenifer" vs. "jennifer"); I haven't come up with a clean way of doing fuzzy matching on the stragglers, so there's room for better matching in that direction if anyone's got a straightforward way to implement that.
The basic approach is to build cumulatively--assign IDs in the first year, then look for matches in the second year; assign new IDs to the unmatched. Then for year 3, look back at the first 2 years, etc. As to how to match, the idea is to slowly expand the matching criteria--the idea being that the more robust the match, the lower the chances of mismatching accidentally (particularly worried about the John Smiths).
Without further ado, here's the main function for matching a pair of data sets:
get_id<-function(yr,key_from,key_to=key_from,
mdis,msch,mard,init,mexp,step){
#Want to exclude anyone who is matched
existing_ids<-full_data[.(yr),unique(na.omit(teacher_id))]
#Get the most recent prior observation of all
# unmatched teachers, excluding those teachers
# who cannot be uniquely identified by the
# current key setting
unmatched<-
full_data[.(1996:(yr-1))
][!teacher_id %in% existing_ids,
.SD[.N],by=teacher_id,
.SDcols=c(key_from,"teacher_id")
][,if (.N==1L) .SD,keyby=key_from
][,(flags):=list(mdis,msch,mard,init,mexp,step)]
#Merge, reset keys
setkey(setkeyv(
full_data,key_to)[year==yr&is.na(teacher_id),
(update_cols):=unmatched[.SD,update_cols,with=F]],
year)
full_data[.(yr),(update_cols):=lapply(.SD,function(x)na.omit(x)[1]),
by=id,.SDcols=update_cols]
}
Then I basically go through the 19 years yy in a for loop, running 12 progressively looser matches, e.g. step 3 is:
get_id(yy,c("first_name_clean","last_name_clean","birth_year"),
mdis=T,msch=T,mard=F,init=F,mexp=F,step=3L)
The final step is to assign new IDs:
current_max<-full_data[.(yy),max(teacher_id,na.rm=T)]
new_ids<-
setkey(full_data[year==yy&is.na(teacher_id),.(id=unique(id))
][,add_id:=.I+current_max],id)
setkey(setkey(full_data,id)[year==yy&is.na(teacher_id),
teacher_id:=new_ids[.SD,add_id]],year)