[R] Merging xts List created using panel data

Jairaj Gupta J.Gupta at 2012.hull.ac.uk
Wed Feb 5 01:07:37 CET 2014


I have done the following:

RNOM <- read.dta("Return Panel without missing.dta")
xtsList <- lapply(RNOM_list, function(x) {
  attrCol <- c("conm")
  numCol <- c("gvkey","prccm","trfm", "trt1m")
  y <- xts(x[,numCol], as.Date(x$datadate,format="%d/%m/%Y"))
  xtsAttributes(y) <- as.list(x[1,attrCol])

logreturns <- lapply(xtsList, function(x) {
  Return.calculate(x$prccm, method = "log")
} )

Now I get, xts List of logreturns and xtsList of my data. 

Can anyone please tell me, how can I merge logreturns with my original dataframe or xtsList; and export it as a csv/excel file for further regression analysis (after merging the file needs to look like panel data)?

The description of variables is as follows:
datadate        long   %d                     Data Date - Security Monthly
gvkey           str6   %6s                    Global Company Key - Security Monthly Descriptor
conm            str58  %58s                   Company Name
prccm           double %20.0g                 Price - Close - Monthly
trfm            double %8.0g                  Monthly Total Return Factor
trt1m           double %8.0g                  Monthly Total Return
gvkeynum        long   %8.0g       gvkeynum   Global Company Key - Security Monthly Descriptor

The data can be downloaded from here: https://drive.google.com/file/d/0B8usDJAPeV85ZG1MSHNDeFQtM28/edit?usp=sharing

Thanks & Regards,

Jairaj Gupta
PhD Finance Candidate
Hull University Business School
Student No. 201201551
Mobile: 00-44-(0)7795904913
SSRN Author: http://ssrn.com/author=1936478
Linkedin Profile: http://www.linkedin.com/pub/jairaj-gupta/54/13a/b61
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