I've got a data.frame with stock data of several companies (here it's only two). I want 10 additional columns in my stock data.frame df with lagged dates (from -5 days to +5 days) for both companies in my event data.frame. I'm using a for loop which is probably not the best solution, but it works partially.

DATE <- c("01.01.2000","02.01.2000","03.01.2000","06.01.2000","07.01.2000","09.01.2000","10.01.2000","01.01.2000","02.01.2000","04.01.2000","06.01.2000","07.01.2000","09.01.2000","10.01.2000")
RET <- c(-2.0,1.1,3,1.4,-0.2, 0.6, 0.1, -0.21, -1.2, 0.9, 0.3, -0.1,0.3,-0.12)
COMP <- c("A","A","A","A","A","A","A","B","B","B","B","B","B","B")
df <- data.frame(DATE, RET, COMP, stringsAsFactors=F)

df

# DATE   RET COMP
# 1  01.01.2000 -2.00    A
# 2  02.01.2000  1.10    A
# 3  03.01.2000  3.00    A
# 4  06.01.2000  1.40    A
# 5  07.01.2000 -0.20    A
# 6  09.01.2000  0.60    A
# 7  10.01.2000  0.10    A
# 8  01.01.2000 -0.21    B
# 9  02.01.2000 -1.20    B
# 10 04.01.2000  0.90    B
# 11 06.01.2000  0.30    B
# 12 07.01.2000 -0.10    B
# 13 09.01.2000  0.30    B
# 14 10.01.2000 -0.12    B

this loop works fine

comp <- as.vector(unique(df$COMP))
mylist <- vector('list', length(comp))

# create lags in DATE
for(i in 1:length(comp)) {
  print(i)
  comp_i <- comp[i]
  df_k <- df[df$COMP %in% comp_i, ] # all trading days of one firm

  df_k <- transform(df_k, 
                      DATEm1 = c(NA, head(DATE, -1)), 
                      DATEm2 = c(NA, NA, head(DATE, -2)), 
                      DATEm3 = c(NA, NA, NA, head(DATE, -3)),
                      DATEm4 = c(NA, NA, NA, NA,head(DATE, -4)), 
                      DATEm5 = c(NA, NA, NA, NA, NA, head(DATE, -5)),
                      DATEp1 = c(DATE[-1], NA))
                     #DATEp2 = c(DATE[-2], NA, NA),
                     #DATEp3 = c(DATE[-3], NA, NA, NA),
                     #DATEp4 = c(DATE[-4], NA, NA, NA, NA),
                     #DATEp5 = c(DATE[-5], NA, NA, NA, NA, NA))

  mylist[[i]] = df_k
} 

df1 <- do.call(rbind, mylist)

But if I add the lines with DATEp2, DATEp3, DATEp4, DATEp5. the code doesn't work. Can anybody tell me what I'm doing wrong here? Here the code with all the lagged dates.

# create lags in DATE
for(i in 1:length(comp)) {
  print(i)
  comp_i <- comp[i]
  df_k <- df[df$COMP %in% comp_i, ] # all trading days of one firm

  df_k <- transform(df_k, 
                      DATEm1 = c(NA, head(DATE, -1)), 
                      DATEm2 = c(NA, NA, head(DATE, -2)), 
                      DATEm3 = c(NA, NA, NA, head(DATE, -3)),
                      DATEm4 = c(NA, NA, NA, NA,head(DATE, -4)), 
                      DATEm5 = c(NA, NA, NA, NA, NA, head(DATE, -5)),
                      DATEp1 = c(DATE[-1], NA),
                      DATEp2 = c(DATE[-2], NA, NA),
                      DATEp3 = c(DATE[-3], NA, NA, NA),
                      DATEp4 = c(DATE[-4], NA, NA, NA, NA),
                      DATEp5 = c(DATE[-5], NA, NA, NA, NA, NA))

  mylist[[i]] = df_k
} 

df1 <- do.call(rbind, mylist)