holidays: Data set for frequently used regressors

In dsa: Seasonal Adjustment of Daily Time Series

Description

Daily time series in xts format containing many regressors for holidays potentially used in the adjustment of daily time series

Usage

holidays

Format

An xts data set containing 131 regressors for the time span 1950 to 2075:

AllSaints

AllSaints, Nov 1

Ascension

Ascension

AscensionAft1Day

Captures the first day after Ascension

AscensionBef1Day

Captures the last day before Ascension

AssumptionOfMary

Assumption of Mary, Aug 15

Aug15ZZZ

Captures if Assumption of Mary, Aug 15, is a certain weekday (Monday to Sunday)

Base

Regressor made up of 0s, can be used to create other regressors

BoxingDay

Boxing Day, Dec 26

CarnivalMonday

Carnival Monday

ChristmasDay

Christmas Day, Dec 25

ChristmasEve

Christmas Eve, Dec 24

CorpusChristi

Corpus Christi

CorpusChristiAft1Day

Captures the first day after Corpus Christi

CorpusChristiBef1Day

Captures the last day before Corpus Christi

Dec24ZZZ

Captures if Dec 24 is a certain weekday (Monday to Sunday)

Dec25ZZZ

Captures if Dec 25 is a certain weekday (Monday to Sunday)

Dec26ZZZ

Captures if Dec 26 is a certain weekday (Monday to Sunday)

Dec31ZZZ

Captures if Dec 31 is a certain weekday (Monday to Sunday)

Dst

Daylight Saving Time, Spring=-1, Autumn=1

DstAutumn

Daylight Saving Time, Autumn=1

DstSpring

Daylight Saving Time, Spring=1

EasterMonday

Easter Monday

EasterMondayAft1Day

Captures the first day after Easter Monday

EasterPeriod

Captures all days from Holy Thursday to Easter Monday

EasterSunday

Easter Sunday

Epiphany

Epiphany, Jan 6

GermanUnity

German Unity, Oct 3

GoodFriday

Good Friday

HolyThursday

Holy Thursday

HolySaturday

Holy Saturday

Jan1ZZZ

Captures if Jan 1 is a certain weekday (Monday to Sunday)

Jan6ZZZ

Captures if Jan 1 is a certain weekday (Monday to Sunday)

LabourDay

Labour Day, May 1

LabourBridge

Captures the bridge days created by May 1, i.e. if surrounding days are either a Monday or Friday

MardiGras

Mardi Gras

May1ZZZ

Captures if Labour Day, May 1, is a certain weekday (Monday to Sunday)

NewYearsDay

New Years Day, Jan 1

NewYearsEve

New Years Eve, Dec 31

Nov1ZZZ

Captures if Nov 1 is a certain weekday (Monday to Sunday)

Nov1Bridge

Captures the bridge days created by Nov 1, i.e. if surrounding days are either a Monday or Friday

Oct3ZZZ

Captures if German Unity, Oct 3, is a certain weekday (Monday to Sunday)

Oct3Bridge

Captures the bridge days created by Nov 1, i.e. if surrounding days are either a Monday or Friday

Oct31ZZZ

Captures if Reformation Day, Oct 31, is a certain weekday (Monday to Sunday)

Oct31Bridge

Captures the bridge days created by Reformation Day, i.e. if surrounding days are either a Monday or Friday

Pentecost

Pentecost Monday

PentecostAft1Day

Captures the first day after Pentecost Monday

PentecostBef1Day

Captures the last day before Pentecost Monday

PentecostMonday

Alias for Pentecost Monday

PentecostPeriod

Period spanning three days from Pentecost Sunday to Tuesday after Pentecost Monday

PostNewEveSat1w

Captures Saturdays in the period from Dec 31 to Jan 6

PostNewEveSun1w

Captures Sundays in the period from Dec 31 to Jan 6

PostXmasSat1w

Captures Saturdays in the period from Dec 27 to Jan 2

PostXmasSun1w

Captures Sundays in the period from Dec 27 to Jan 2

PostXmasSat10d

Captures Saturdays in the period from Dec 27 to Jan 5

PostXmasSun10d

Captures Sundays in the period from Dec 27 to Jan 5

PreXmasSat3d

Captures Saturdays in the three days leading up to Christmas

PreXmasSun3d

Captures Sundays in the three days leading up to Christmas

ReformationDay

Reformation Day, Oct 31

ReformationDay2017

Reformation Day, Oct 31 2017 (National holiday that year)

XmasPeriodZZZ

Captures weekdays (Monday to Sunday) in the Christmas period from Dec 21 to Jan 5

Author(s)

Daniel Ollech

Source

Own calculations

dsa documentation built on June 21, 2021, 9:07 a.m.