Convert data.frame to zoo

Question

I want to convert a data.frame to a zoo object. My df looks like that:

> (str(StockPriceReturns))
'data.frame':   3036 obs. of  2 variables:
 $ Date        : Factor w/ 3036 levels "01.01.2002","01.01.2003",..: 1 102 202 301 600 701 802 902 1001 1300 ...
 $ TotalReturns: num  183 183 186 191 191 ...
NULL

What I tried:

directly:

Here I am getting an error...

> (z1 <- read.zoo(StockPriceReturns, drop=FALSE))
Error in read.zoo(StockPriceReturns, drop = FALSE) : 
  index has 3036 bad entries at data rows: 1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 22 23 24 25 26 27 28 29 30 31 32 33 34 35 36 37 38 39 40 41 42 43 44 45 46 47 48 49 50 51 52 53 54 55 56 57 58 59 60 61 62 63 64 65 66 67 68 69 70 71 72 73 74 75 76 77 78 79 80 81 82 83 84 85 86 87 88 89 90 91 92 93 94 95 96 97 98 99 100 ...

function:

I am getting an error too ;(

    dfToZoo <- function(df) {
        require(zoo)
        date <- as.Date(df[, 1], format = '%d.%m.%y')
        with(df, zoo(date,freq))
    } 

> (z1 <- dfToZoo(StockPriceReturns))
Error in MATCH(order.by, order.by) : object 'freq' not found

My question is what is a better way to convert a data.frame to a zoo object? How to properly do that?

I appreciate your reply

`StockPriceReturns` does not have a column named `freq`. Also, your `zoo` call is backwards -- should be `zoo(TotalReturns, date)` — GSee, Jan 01 '14 at 20:56

G. Grothendieck · Accepted Answer · 2017-03-31T17:22:45.267

7

Regarding the attempt to use read.zoo, the format of the first column must be specified as it differs from the default. See ?read.zoo for proper use of that function. Also there is a vignette vignette("zoo-read") entirely devoted to read.zoo examples.

DF <- data.frame(Date = c("01.01.2002","01.01.2003"), TotalReturns = c(183, 183))
library(zoo)
read.zoo(DF, format = "%d.%m.%Y")
## 2002-01-01 2003-01-01 
##        183        183

The function dfToZoo provided in the question uses zoo incorrectly (see ?zoo to understand the arguments) and the value of the format argument should be "%d.%m.%Y" with an upper case Y.

edited Mar 31 '17 at 17:22

answered Jan 01 '14 at 21:08

G. Grothendieck

254,981
17
203
341

Thank you for your answer! Why is the formating of `"%d.%m.%Y"` with a large `"...%Y"`? – user2051347 Jan 01 '14 at 21:28

score 1 · Answer 2 · answered Jan 30 '15 at 21:38

A quick take on a dfTozoo function. It gives you the flexibility of specifying the date format if different from the included default:

dfTozoo = function(tsdataframe, dateformat="%m/%d/%Y"){

  library(zoo)

  framedates = as.Date(tsdataframe[,1], format=dateformat)
  n=ncol(tsdataframe)
  zoodata = zoo(tsdataframe[,2:n], order.by=framedates)

  return(zoodata)
}

Convert data.frame to zoo

2 Answers2