R中RSQL Lite引擎中的自有函数

我找到了这个用于SAS的SQL代码，我想将其转换为RSQL Lite

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出现的第一个问题是R没有提供intck函数，该函数返回两个日期之间的月差。我发现一个类似的函数（在stackoverflow中）如下所示：

mob<-function (begin, end) {
  begin<-paste(substr(begin,1,6),"01",sep="")
  end<-paste(substr(end,1,6),"01",sep="")
  mob1<-as.period(interval(ymd(begin),ymd(end)))
  mob<-mob1@year*12+mob1@month
  mob
}

GVKEY,datadate,fyear,fyr,bkvlps,permno
14489,19980131,1997,1,4.0155,11081
14489,19990131,1998,1,1.8254,11081
14489,20000131,1999,1,2.0614,11081
14489,20010131,2000,1,2.1615,11081
14489,20020131,2001,1,1.804,11081

CRSP文件如下所示

permno,date,ret
11081,20000103,0.1
11081,20000104,0.2

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您只能在SQLite中使用SQL函数（以及用C编写的函数）。不能使用R函数

library(sqldf)
try(detach("package:RH2"), silent = TRUE)  # detach RH2 if present

sqldf("select a.*, b.ret, b.date
          from Annual_File as a 
          left join CRSP as b 
          on a.permno = b.permno and 
             b.date + 2440588.5 between julianday(a.datadate + 2440588.5, '+3 months') and 
                                        julianday(a.datadate + 2440588.5, '+12 months')")

此外，SQLite对于日期处理不是很好，因为它没有日期和时间类型。SQLite提供的函数可以解决问题（请参见最后的注释），但我建议您改用H2数据库。它内置了

datediff

。请注意，根据需要，您可能需要将最后两个参数的顺序颠倒为

datediff

library(RH2)
library(sqldf)

# create test data frames

Lines1 <- "GVKEY,datadate,fyear,fyr,bkvlps,permno
14489,19980131,1997,1,4.0155,11081
14489,19990131,1998,1,1.8254,11081
14489,20000131,1999,1,2.0614,11081
14489,20010131,2000,1,2.1615,11081
14489,20020131,2001,1,1.804,11081"

Lines2 <- "permno,date,ret
11081,20000103,0.1
11081,20000104,0.2"

fmt <- "%Y%m%d"

Annual_File <- read.csv(text = Lines1)
Annual_File$datadate <- as.Date(as.character(Annual_File$datadate), format = fmt)

CRSP <- read.csv(text = Lines2)
CRSP$date <- as.Date(as.character(CRSP$date), format = fmt)

# run SQL statement using sqldf

sqldf("select a.*, b.ret, b.date, datediff('month', a.datadate, b.date) diff
          from Annual_File as a 
          left join CRSP as b 
          on a.permno = b.permno and 
             datediff('month', a.datadate, b.date) between 3 and 14")

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我已经编辑了上面的代码。问题基本上是我如何在RSQL Select语句中调用自己编写的函数？没有人能帮我解决这个问题。我想在RSQL select语句中调用自己编写的函数。甚至有可能做到这一点吗？如果缺少

library

语句，则代码依赖于特定的文件路径，因此无法按原样运行，请不要将

install.packages

语句放入发布到so的代码中（除非注释掉）。

Error in sqliteSendQuery(con, statement, bind.data) : 
  error in statement: no such function: mob

library(RH2)
library(sqldf)

# create test data frames

Lines1 <- "GVKEY,datadate,fyear,fyr,bkvlps,permno
14489,19980131,1997,1,4.0155,11081
14489,19990131,1998,1,1.8254,11081
14489,20000131,1999,1,2.0614,11081
14489,20010131,2000,1,2.1615,11081
14489,20020131,2001,1,1.804,11081"

Lines2 <- "permno,date,ret
11081,20000103,0.1
11081,20000104,0.2"

fmt <- "%Y%m%d"

Annual_File <- read.csv(text = Lines1)
Annual_File$datadate <- as.Date(as.character(Annual_File$datadate), format = fmt)

CRSP <- read.csv(text = Lines2)
CRSP$date <- as.Date(as.character(CRSP$date), format = fmt)

# run SQL statement using sqldf

sqldf("select a.*, b.ret, b.date, datediff('month', a.datadate, b.date) diff
          from Annual_File as a 
          left join CRSP as b 
          on a.permno = b.permno and 
             datediff('month', a.datadate, b.date) between 3 and 14")

  GVKEY   datadate fyear fyr bkvlps permno ret       date diff
1 14489 1998-01-31  1997   1 4.0155  11081  NA       <NA>   NA
2 14489 1999-01-31  1998   1 1.8254  11081 0.1 2000-01-03   12
3 14489 1999-01-31  1998   1 1.8254  11081 0.2 2000-01-04   12
4 14489 2000-01-31  1999   1 2.0614  11081  NA       <NA>   NA
5 14489 2001-01-31  2000   1 2.1615  11081  NA       <NA>   NA
6 14489 2002-01-31  2001   1 1.8040  11081  NA       <NA>   NA

library(sqldf)
try(detach("package:RH2"), silent = TRUE)  # detach RH2 if present

sqldf("select a.*, b.ret, b.date
          from Annual_File as a 
          left join CRSP as b 
          on a.permno = b.permno and 
             b.date + 2440588.5 between julianday(a.datadate + 2440588.5, '+3 months') and 
                                        julianday(a.datadate + 2440588.5, '+12 months')")