R: Continuous return for panel data-CodePudding

I have the following data:

structure(list(`Product Name` = c("A", "A", "A", "B", "B", "B", 
"C", "C", "C"), Year = c(2018L, 2019L, 2020L, 2018L, 2019L, 2020L, 
2018L, 2019L, 2020L), Price = c(200L, 300L, 250L, 304L, 320L, 
103L, 203L, 203L, 402L)), class = "data.frame", row.names = c(NA, 
-9L))

Now I would like to compute the yearly continuous return based on the following formula: ln(Price_t /Price_(t-1)) where t represents the year.

I came across the following question: Calculating monthly returns based on Panel Data R However, I have a different formula for the return.

Could someone help me with the code? Thanks a lot in advance.

CodePudding user response：

You can use the lag function from dplyr to get the previous period returns and group by product name to perform your calculation.

library(dplyr)
df <- df %>% 
    group_by(`Product Name`) %>% 
    mutate(return = log(Price / dplyr::lag(Price)))
# A tibble: 9 x 4
# Groups:   Product Name [3]
# `Product Name`  Year Price  return
# <chr>          <int> <int>   <dbl>
#     1 A        2018   200 NA     
#       A        2019   300  0.405 
#       A        2020   250 -0.182 
#       B        2018   304 NA     
#       B        2019   320  0.0513
#       B        2020   103 -1.13  
#       C        2018   203 NA     
#       C        2019   203  0     
#       C        2020   402  0.683