data.table outer join by group

Question

I am trying to use data.table to fill missing observations in a large unbalanced multi-dimensional panel that I have. Below is an example of the data with some comments as t

Answer 1

It's always good to post the answer you're expecting as well to avoid any ambiguity/miscommunication. Is this what you're looking for?

require(data.table)
dt <- as.data.table(mydat)
setkey(dt, "yearqtr")
dt[, .SD[J(allqtrs)], by = list(fund, holdingid)]
#     fund holdingid yearqtr shares
#  1:    1        10 2000.00     20
#  2:    1        10 2000.25     NA
#  3:    1        10 2000.50     25
#  4:    1        10 2000.75     NA
#  5:    1        11 2000.00     30
#  6:    1        11 2000.25     30
#  7:    1        11 2000.50     NA
#  8:    1        11 2000.75     NA
#  9:    2        15 2000.00     34
# 10:    2        15 2000.25     NA
# 11:    2        15 2000.50     NA
# 12:    2        15 2000.75     34
# 13:    2        14 2000.00     NA
# 14:    2        14 2000.25      4
# 15:    2        14 2000.50     NA
# 16:    2        14 2000.75     NA
# 17:    3        20 2000.00     NA
# 18:    3        20 2000.25      8
# 19:    3        20 2000.50     10
# 20:    3        20 2000.75     NA