21 May 2013

Slide: one function for lag/lead variables in data frames, including time-series cross-sectional data

I often want to quickly create a lag or lead variable in an R data frame. Sometimes I also want to create the lag or lead variable for different groups in a data frame, for example, if I want to lag GDP for each country in a data frame.

I've found the various R methods for doing this hard to remember and usually need to look at old blog posts. Any time we find ourselves using the same series of codes over and over, it's probably time to put them into a function.

So, I added a new command–slide–to the DataCombine R package (v0.1.5).

Building on the shift function TszKin Julian posted on his blog, slide allows you to slide a variable up by any time unit to create a lead or down to create a lag. It returns the lag/lead variable to a new column in your data frame. It works with both data that has one observed unit and with time-series cross-sectional data.

Note: your data needs to be in ascending time order with equally spaced time increments. For example 1995, 1996, 1997.


Not Cross-sectional data

Let's create an example data set with three variables:

# Create time variable
Year <- 1980:1999

# Dummy covariates
A <- B <- 1:20

Data1 <- data.frame(Year, A, B)

##   Year A B
## 1 1980 1 1
## 2 1981 2 2
## 3 1982 3 3
## 4 1983 4 4
## 5 1984 5 5
## 6 1985 6 6

Now let's lag the A variable by one time unit.


DataSlid1 <- slide(Data1, Var = "A", slideBy = -1)

##   Year A B A-1
## 1 1980 1 1  NA
## 2 1981 2 2   1
## 3 1982 3 3   2
## 4 1983 4 4   3
## 5 1984 5 5   4
## 6 1985 6 6   5

The lag variable is automatically given the name A-1.

To lag a variable (i.e. the lag value at a given time is the value of the non-lagged variable at a time in the past) set the slideBy argument as a negative number. Lead variables, are created by using positive numbers in slideBy. Lead variables at a given time have the value of the non-lead variable from some time in the future.

Time-series Cross-sectional data

Now let's use slide to create a lead variable with time-series cross-sectional data. First create the example data:

# Create time and unit ID variables
Year <- rep(1980:1983, 5)
ID <- sort(rep(seq(1:5), 4))

# Dummy covariates
A <- B <- 1:20

Data2 <- data.frame(Year, ID, A, B)

##   Year ID A B
## 1 1980  1 1 1
## 2 1981  1 2 2
## 3 1982  1 3 3
## 4 1983  1 4 4
## 5 1980  2 5 5
## 6 1981  2 6 6

Now let's create a two time unit lead variable based on B for each unit identified by ID:

DataSlid2 <- slide(Data2, Var = "B", GroupVar = "ID",
                    slideBy = 2)

##   Year ID A B B2
## 1 1980  1 1 1  3
## 2 1981  1 2 2  4
## 3 1982  1 3 3 NA
## 4 1983  1 4 4 NA
## 5 1980  2 5 5  7
## 6 1981  2 6 6  8

Hopefully you'll find slide useful in your own data analysis. Any suggestions for improvement are always welcome.


Tilly Tan said...

in your last exmample, what if i want to have the first 3 vairble in each group to have a lag value of 2, how can i do it?


Christopher Gandrud said...

Tilly, do you mean lag the A and B variables by 2? Or do you mean lag the first three rows for each group by 2?

Highgamma said...

Cool. I can use this to create returns for any time lag.

Sebastian Barfort said...

is this faster than using plyr as is what I'm currently using? plyr is beautiful but incredibly slow at times.

Christopher Gandrud said...

Sebastian for lags/leads with time- series cross-sectional data it will probably be as fast as plyr because it relies on ddply.

There might be a way to have slide use data.table rather than plyr. data.table is usually faster. I'll look into it. Thanks for the comment.

politicalsciencereplication said...

I'm using lagpanel() in the {simcf} package which makes sure that the panel structure is taken into account. Works perfectly! The package is described here: http://faculty.washington.edu/cadolph/?page=60

Christopher Gandrud said...

@politicalsciencereplication Thanks for the info. lagepanel looks pretty interesting. I like how it doesn't rely on ddply. Not sure if it does lead variables and has possibly less intuitive syntax for new users wanting to lag a variable in an existing data frame and return the new variable to the old data frame.

You've got a great blog by the way.

Fr. said...

I have submitted a fix that should make the function as quick as possible with plyr. On my training data, it is now as quick as lagpanel (which cannot do lead variables).

Christopher Gandrud said...

Thanks Fr. I just merged it in and the new version of DataCombine should be on CRAN shortly.

Danilo said...

This is by far the easiest function to lag and lead variables that I've seen. It works wonders! Thanks for lowering R's entry costs for newbies like me. :)

Christopher Gandrud said...

Thanks Danilo. Really glad that you found it useful.

homo-loquens said...

Thanks very much for this package! I am using your slide function with fairly ordinary Time-series Cross-country dataset. When I use SlideBy=-1 (or SlideBy=1) it works fine, but when I put, say, SlideBy=-2 (or SlideBy=2) I get the following error:

Error in `[<-.data.frame`(`*tmp*`, , NewVar, value = c(NA, NA, NA, NA, :
replacement has 4098 rows, data has 4097

What do you think could cause this problem?

Christopher Gandrud said...

Hi homo-loquens

First of all, can you run the examples in the slide documentation ok?

If so then there might be some issue with your grouping or time variables. Not exactly sure without seeing the data.

homo-loquens said...

Thank you, I think I have figured it out for the time being. Would post further if necessary.