pdDiff#

Purpose#

Computes differences of panel data.

Format#

delta_pd = pdDiff(df[, k, d, by_time, groupvar, datevar])#
Parameters:

  • df (Dataframe) – Contains long-form panel data with \(N_i x T_i\) rows and K columns.

  • k (Scalar) – Optional, time lag to use for differencing. Default is 1.

  • d (Scalar) – Optional, order of differencing. Default is 1.

  • by_time (Scalar) – Optional, indicates whether differences should be computed by checking the differences in the date variable or by row position. Default is 0.

  • groupvar (String) – Optional, name of the variable used to identify group membership for panel observations. Defaults to the first categorical or string variable in the dataframe.

  • datevar (String) – Optional, name of the variable used to identify dates for panel observations. Defaults to the first date variable in the dataframe.

Returns:

delta_pd (Dataframe) – A dataframe containing the differenced panel data.

Examples#

// Import data
fname = getGAUSSHome("examples/pd_ab.gdat");
pd_ab = loadd(fname);

// Take a small sample for the example
pd_smpl = pd_ab[1:4 8:11,.];

// Print our sample
print pd_smpl;

id        year        emp       wage
 1  1977-01-01     5.0410    13.1516
 1  1978-01-01     5.6000    12.3018
 1  1979-01-01     5.0150    12.8395
 1  1980-01-01     4.7150    13.8039
 2  1977-01-01    71.3190    14.7909
 2  1978-01-01    70.6430    14.1036
 2  1979-01-01    70.9180    14.9534
 2  1980-01-01    72.0310    15.4910

// Compute first-order differences with default time lag
delta_pd = pdDiff(pd_smpl);

// Print differenced data
print delta_pd;

The code above will return:

id             year              emp             wage
 1       1977-01-01                .                .
 1       1978-01-01       0.55900002      -0.84980011
 1       1979-01-01      -0.58500004       0.53770065
 1       1980-01-01      -0.29999971       0.96439934
 2       1977-01-01                .                .
 2       1978-01-01      -0.67600250      -0.68730068
 2       1979-01-01       0.27500153       0.84980011
 2       1980-01-01        1.1129990       0.53760052

Remarks#

This function takes long-form panel data. To transform wide data to long-form data see dfLonger().

This function assumes panel is sorted by group and date. Note that panel data can be sorted using pdSort().

This function computes differences for panel data based on the specified time lag (k) and order of differencing (d). Differences can be calculated either by row position or by checking differences in the date variable, depending on the by_time argument.

  • If groupvar is not provided, the function defaults to the first categorical or string variable in the dataframe.

  • If datevar is not provided, the function defaults to the first date variable in the dataframe.

The resulting dataframe contains the differenced panel data, excluding rows where differencing cannot be performed (e.g., insufficient lag).

See also:

See also

pdLag()

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