Date          Value
2012-05-28    101
2012-05-25     99
2012-05-24    102
....
2012-04-30     78
2012-04-27     82
2012-04-26     77
2012-04-25     75
2012-04-24     76

1. 2012-05-28 to 2012-04-30
2. 2012-05-25 to 2012-04-26
3. 2012-05-24 to 2012-04-25

#function for extracting month is in the lubridate package
install.packages(c("plyr", "lubridate"))
require(plyr); require(lubridate)

#read the daily data
daily = read.csv("daily_lumber_prices.csv")
price = daily$Open
date = daily$Date

#convert date to a usable format
date = strptime(date, "%d-%b-%y")
mon = month(date)
T = length(price)

#need to know when months change
change_month = rep(0,T)

for(t in 2:T){
  if(mon[t] != mon[t-1]){
    change_month[t-1] = 1
  }
}

month_avg = rep(0,T)
total = 0
days = 0

for(t in 1:T){
  if(change_month[t] == 0){
    #cumulative sums for each variable
    total = total + price[t]
    days = days + 1
  }

  else{
    #need to include the current month in the calculation
    month_avg[t] = (total + price[t]) / (days + 1)
    #reset the variables
    total = 0
    days = 0
  }
}