linking: Linking-in new index series

In hicp: Harmonised Index of Consumer Prices

Linking-in new index series

Description

Function link() links a new index series (x.new) to an existing one (x) using the overlap periods in t.overlap. In the resulting linked index series, the new index series starts after the existing one.

Function lsf() computes the level-shift factors for linking via the overlap periods in t.overlap in comparison to the one-month overlap method using December of year t-1. The level-shift factors can then be used to shift the index level of a HICP index series.

Usage

link(x, x.new, t, t.overlap=NULL, settings=list())

lsf(x, x.new, t, t.overlap=NULL, settings=list())

Arguments

x, x.new	numeric vector of index values. NA-values in the vectors indicate when the index series discontinues (for x) or starts (for x.new).
t	date vector in format YYYY-MM-DD with monthly frequency, that is, one observation per month. Quarterly and yearly frequencies are also supported.
t.overlap	character specifying the overlap period either in format YYYY for a calendar year or YYYY-MM for a specific month or quarter. Multiple periods can be provided. If NULL, all intersecting periods in x and x.new are used.
settings	list of control settings to be used. The following settings are supported: chatty : logical indicating if package-specific warnings and info messages should be printed or not. The default is getOption("hicp.chatty"). freq : character specifying the frequency of t. Allowed values are month, quarter, year, and auto (the default). For auto, the frequency is internally derived from t. na.rm : logical indicating if averages for calendar years should also be computed when there are NAs and less than 12 months (or 4 quarters) present (for na.rm=TRUE).

Value

Function link() returns a numeric vector or a matrix of the same length as t, while lsf() provides a named numeric vector of the same length as t.overlap.

Author(s)

Sebastian Weinand

See Also

chain

Examples

# input data:
set.seed(1)
t <- seq.Date(from=as.Date("2015-01-01"), to=as.Date("2024-05-01"), by="1 month")
x.new <- rnorm(n=length(t), mean=100, sd=5)
x.new <- rebase(x=x.new, t=t, t.ref="2019-12")
x.old <- x.new + rnorm(n=length(x.new), sd=5)
x.old <- rebase(x=x.old, t=t, t.ref="2015")
x.old[t>as.Date("2021-12-01")] <- NA # current index discontinues in 2021
x.new[t<as.Date("2020-01-01")] <- NA # new index starts in 2019-12

# linking in new index in different periods:
matplot(x=t, 
        y=link(x=x.old, x.new=x.new, t=t, t.overlap=c("2021-12","2020","2021")), 
        col=c("red","blue","green"), type="l", lty=1, 
        xlab=NA, ylab="Index", ylim=c(80,120))
lines(x=t, y=x.old, col="black")
abline(v=as.Date("2021-12-01"), lty="dashed")
legend(x="topleft",
       legend=c("One-month overlap using December 2021",
                "Annual overlap using 2021",
                "Annual overlap using 2020"),
       fill=c("red","green","blue"), bty = "n")

# compute level-shift factors:
lsf(x=x.old, x.new=x.new, t=t, t.overlap=c("2020","2021"))

# level-shift factors can be applied to already chain-linked index series
# to obtain linked series using another overlap period:
x.new.chained <- link(x=x.old, x.new=x.new, t=t, t.overlap="2021-12")

# level-shift adjustment:
x.new.adj <- ifelse(test=t>as.Date("2021-12-01"),
                    yes=x.new.chained*lsf(x=x.old, x.new=x.new, t=t, t.overlap="2020"),
                    no=x.new.chained)

# compare:
all.equal(x.new.adj, link(x=x.old, x.new=x.new, t=t, t.overlap="2020"))

hicp documentation built on Aug. 8, 2025, 6:30 p.m.