I have started to work with R and STATA together. I like running regressions in STATA, but I do graphs and setting up the dataset in R. R clearly has a strong comparative advantage here compared to STATA. I was writing a function that will give me a (balanced) panel-structure in R. It then simply works by joining in the additional data.tables or data.frames that you want to join into it.

It consists of two functions:

timeVector <- function(starttime,endtime,timestep="months") {

starttime<- as.POSIXct(strptime(starttime, '%Y-%m-%d'))
endtime<- as.POSIXct(strptime(endtime, '%Y-%m-%d'))
if(timestep=="quarters") {
timestep="months"
ret<-seq(from=as.POSIXct(starttime), to=as.POSIXct(endtime), by=timestep)
quarter <- gsub("(^[123]{1}$)", 1, month(ret))
quarter <- gsub("(^[456]{1}$)", 2, quarter)
quarter <- gsub("(^[789]{1}$)", 3, quarter)
quarter <- as.numeric(gsub("(^[102]{2}$)", 4, quarter))

ret<-paste(year(ret),quarter,sep="-")
ret<-unique(ret)
} else {

ret<-seq(from=as.POSIXct(starttime), to=as.POSIXct(endtime), by=timestep)
}
ret

}

This first function generates the time-vector, you need to tell it what time-steps you want it to have.

panelStructure <- function(group,timevec) {
tt<-rep(timevec,length(group))
tt2 <- as.character(sort(rep(group,length(timevec))))
mat <- cbind("group"=data.frame(tt2),"timevec"=data.frame(tt))
names(mat)<-c("group","timevec")
mat
}

This second function then generates the panel-structure. You need to give it a group vector, such as for example a vector of district names and you need  to pass it the time vector that the other function created.

Hope this is helpful to some of you.