[R] generating a data frame for plm regression

[T.Riedle]

Hi everybody,

I am working with the plm package. I am struggling with the generation of the data frame in the plm() function. An example of my data are found in the attachment and I want to run a pooled regression on those. Hence, I need to generate a data frame using pdata.frame() function and this is what I get:

pdata.frame(plm.CoVaR,index=c("Sector","Date"))->data
> head(data,100)
             Sector       Date   DeltaCoVaR
1-01/02/2000      1 01/02/2000 -2.331174662
1-01/02/2001      1 01/02/2001 -2.091099896
1-01/02/2002      1 01/02/2002 -2.126445804
1-01/02/2005      1 01/02/2005 -1.580493046
1-01/02/2006      1 01/02/2006 -1.648100073
1-01/02/2007      1 01/02/2007 -1.494696604

The problem is that I do not understand the first column. Furthermore, I have daily data but the variables are not sorted by their date. The ordering looks confusing and some years are omitted in the R output.

What is wrong here? Can anybody help me?

Thanks in advance.