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Function to easily add lagged variables to a data.table timeseries
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| # data must be a data.table | |
| # lags is a vector of positive integer lags | |
| add_lag_variables <- function(data, lags){ | |
| setkey(data, ticker_id, timestamp) | |
| setorder(data, ticker_id, timestamp) | |
| col_to_lag <- names(data) | |
| col_to_lag <- col_to_lag[!(col_to_lag %in% c('ticker_id', 'timestamp'))] | |
| for(lag in lags){ | |
| lag_col_names <- paste(col_to_lag, "lag", lag, sep = "_") | |
| data[,(lag_col_names) := shift(.SD, n = lag, type = 'lag'), by = ticker_id, .SDcols = col_to_lag] | |
| } | |
| return(NULL) | |
| } |
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Blog regarding this http://www.currencyprospector.com/2017/10/quickly-create-many-lagged-time-series.html