Let's take the following data:
我们来看以下数据:
dt <- data.table(TICKER=c(rep("ABC",10),"DEF"),
PERIOD=c(rep(as.Date("2010-12-31"),10),as.Date("2011-12-31")),
DATE=as.Date(c("2010-01-05","2010-01-07","2010-01-08","2010-01-09","2010-01-10","2010-01-11","2010-01-13","2010-04-01","2010-04-02","2010-08-03","2011-02-05")),
ID=c(1,2,1,3,1,2,1,1,2,2,1),VALUE=c(1.5,1.3,1.4,1.6,1.4,1.2,1.5,1.7,1.8,1.7,2.3))
setkey(dt,TICKER,PERIOD,ID,DATE)
dt