Make Indicator Matrices (Impulses, Steps, Trends)

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Description

Auxiliary functions to make, respectively, matrices of impulse indicators (iim), step indicators (sim) and trend indicators (tim)

Usage

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##make matrix of impulse indicators:
iim(x, which.ones = NULL)

##make matrix of step indicators:
sim(x, which.ones = NULL)

##make matrix of trend indicators:
tim(x, which.ones = NULL, log.trend = FALSE)

Arguments

x

either an integer (the length of the series in question) or a series (a vector or matrix) from which to use the time-series index to make indicators of

which.ones

the locations of the impulses. If NULL (the default), then all impulses are returned

log.trend

logical. If TRUE, then the natural log is applied on the trends

Details

If x is a series or vector of observations, then the index of x will be used for the labelling of the impulses, and in the returned zoo object.

Note: For sim and tim the first indicator is removed, since it is exactly colinear with the others.

Value

A zoo matrix containing the impulses

Author(s)

Genaro Sucarrat, http://www.sucarrat.net/

See Also

isat, zoo

Examples

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##generate series:
y <- rnorm(40)

##make matrix of impulse indicators:
mIIM <- iim(40)

##make matrix of step-indicators, but only every third:
mSIM <- sim(y, which.ones=seq(1,40,3))

##give quarterly time-series attributes to y-series:
y <- zooreg(y, frequency=4, end=c(2015,4))

##make matrix of trend-indicators with quarterly labels:
mTIM <- tim(y)