dummyseas: Seasonal dummy variables

View source: R/util.R

dummyseasR Documentation

Seasonal dummy variables

Description

It produces a matrix with seasonal dummies summing to zero to be used as regressors. If s is the seasonal period, then the j-th dummy equals 1 in season j and -1/(s-1) in the other seasons, so that the variable sums to 0 over one year period.

Usage

dummyseas(n, s, remove = s)

Arguments

n

length of time series;

s

seasonal period;

remove

to avoid collinearity with the constant remove a column, by default it is column s; if NULL no column is removed.

Value

It returns a matrix with n rows and s-1 column unless remove = NULL.

Examples

y <- log(AirPassengers)
X <- dummyseas(length(y), 12)
X <- cbind(X, t = 1:length(y))
reg <- lm(y~X)

jumps documentation built on April 4, 2025, 2:22 a.m.