[R] Time series data

Jagdish Gangolly gangolly at csc.albany.edu
Thu Nov 25 02:58:42 CET 2010


I have a stock price dataset  a snippet of which is:

 > plcm60[1:15, c(1,3,4,5,6,7)]
      DATE  BIDLO ASKHI    PRC     VOL       RET
1   1/2/03  9.450  9.79  9.700 1531819  0.018907
2   1/3/03  9.670  9.94  9.940 1582192  0.024742
3   1/6/03  9.830 10.05  9.960 1843298  0.002012
4   1/7/03  9.835 10.38 10.350 1412441  0.039157
5   1/8/03 10.220 10.67 10.260  961400 -0.008696
6   1/9/03 10.280 11.05 11.020 1742989  0.074074
7  1/10/03 10.900 11.29 11.100  701203  0.007260
8  1/13/03 11.150 11.44 11.350  959718  0.022523
9  1/14/03 11.130 11.40 11.230  994991 -0.010573
10 1/15/03 11.110 11.73 11.410 1678751  0.016029
11 1/16/03 10.850 11.40 11.079  887901 -0.029010
12 1/17/03 10.560 10.91 10.710  968015 -0.033306
13 1/21/03 10.430 10.76 10.680  747969 -0.002801
14 1/22/03 10.510 10.82 10.560 2702355 -0.011236
15 1/23/03 10.700 11.95 11.910 2262855  0.127841

Since the market is closed saturdays, sundays and holidays,
the dataset has gaps. I need to insert rows (with dates
but all other columns blank) so that the date
column in the dataset will have all dates on the calendar?

Is there a simple solution using only strptime, and for loops?

Jagdish



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