Own function in RSQL Lite Engine in R - r

Question

I found this SQL code for SAS and I want to translate it into RSQL Lite.
proc sql;
create table crspcomp as
select a.*, b.ret, b.date
from ccm1 as a left join crsp.msf as b
on a.permno=b.permno
and intck('month',a.datadate,b.date)
between 3 and 14;
quit;
The first Problem which occurred was R does not provide the intck function, which Returns the difference in months between two dates. I found a similar function (at stackoverflow) which looks like this:
mob<-function (begin, end) {
begin<-paste(substr(begin,1,6),"01",sep="")
end<-paste(substr(end,1,6),"01",sep="")
mob1<-as.period(interval(ymd(begin),ymd(end)))
mob<-mob1#year*12+mob1#month
mob
}
I've tested the mob function outside RSQL and it works fine so far. Now I want to put the mob function into the SQL Statement written above.
In the SQL Code I want to merge the data on permno and in addition I want to lag the data for 3 months (thats why I use the mob function).
The Annual_File looks like this:
GVKEY,datadate,fyear,fyr,bkvlps,permno
14489,19980131,1997,1,4.0155,11081
14489,19990131,1998,1,1.8254,11081
14489,20000131,1999,1,2.0614,11081
14489,20010131,2000,1,2.1615,11081
14489,20020131,2001,1,1.804,11081
The CRSP file looks like this
permno,date,ret
11081,20000103,0.1
11081,20000104,0.2
install.packages('DBI')
install.packages('RSQLite')
mob<-function (begin, end) {
begin<-paste(substr(begin,1,6),"01",sep="")
end<-paste(substr(end,1,6),"01",sep="")
mob1<-as.period(interval(ymd(begin),ymd(end)))
mob<-mob1#year*12+mob1#month
mob
}
Annual_File <- "C:/Users/XYZ"
Annual_File <- paste0(Annual_File ,".csv",sep="")
inputFile <- "C:/Users/XYZ"
inputFile <- paste0(inputFile.csv",sep="")
con <- dbConnect(RSQLite::SQLite(), dbname='CCM')
dbWriteTable(con, name="CRSP", value=inputFile, row.names=FALSE, header=TRUE, overwrite=TRUE)
dbWriteTable(con, name="Annual_File", value=Annual_File, row.names=FALSE, header=TRUE, overwrite=TRUE)
DSQL <- "select a.*, b.ret, b.date
from Annual_File as a left join
CRSP as b
on a.permno=b.PERMNO
and mob(a.datadate,b.date)
between 3 and 14"
yourData <- dbGetQuery(con,DJSQL)
Even tough I defined the function - the Error looks as follows.
Error in sqliteSendQuery(con, statement, bind.data) :
error in statement: no such function: mob

Answer 1

You can only use SQL functions in SQLite (and functions written in C). You can't use R functions.
Also, SQLite is not very good for date handling since it has no date and time types. Workarounds are possible with the functions SQLite provides (see Note at end) but I suggest you use the H2 database instead. It has datediff built in. Note that depending on what you want you may need to reverse the order of the last two arguments to datediff.
library(RH2)
library(sqldf)
# create test data frames
Lines1 <- "GVKEY,datadate,fyear,fyr,bkvlps,permno
14489,19980131,1997,1,4.0155,11081
14489,19990131,1998,1,1.8254,11081
14489,20000131,1999,1,2.0614,11081
14489,20010131,2000,1,2.1615,11081
14489,20020131,2001,1,1.804,11081"
Lines2 <- "permno,date,ret
11081,20000103,0.1
11081,20000104,0.2"
fmt <- "%Y%m%d"
Annual_File <- read.csv(text = Lines1)
Annual_File$datadate <- as.Date(as.character(Annual_File$datadate), format = fmt)
CRSP <- read.csv(text = Lines2)
CRSP$date <- as.Date(as.character(CRSP$date), format = fmt)
# run SQL statement using sqldf
sqldf("select a.*, b.ret, b.date, datediff('month', a.datadate, b.date) diff
from Annual_File as a
left join CRSP as b
on a.permno = b.permno and
datediff('month', a.datadate, b.date) between 3 and 14")
giving:
GVKEY datadate fyear fyr bkvlps permno ret date diff
1 14489 1998-01-31 1997 1 4.0155 11081 NA <NA> NA
2 14489 1999-01-31 1998 1 1.8254 11081 0.1 2000-01-03 12
3 14489 1999-01-31 1998 1 1.8254 11081 0.2 2000-01-04 12
4 14489 2000-01-31 1999 1 2.0614 11081 NA <NA> NA
5 14489 2001-01-31 2000 1 2.1615 11081 NA <NA> NA
6 14489 2002-01-31 2001 1 1.8040 11081 NA <NA> NA
Note: To use SQLite use this where 2440588.5 is used to convert between R's UNIX epoch date origin and the date origin assumed by SQLite's functions.
library(sqldf)
try(detach("package:RH2"), silent = TRUE) # detach RH2 if present
sqldf("select a.*, b.ret, b.date
from Annual_File as a
left join CRSP as b
on a.permno = b.permno and
b.date + 2440588.5 between julianday(a.datadate + 2440588.5, '+3 months') and
julianday(a.datadate + 2440588.5, '+12 months')")