SeasComponent: Generate a data matrix of seasonal components

In pdR: Threshold Model and Unit Root Tests in Cross-Section and Time Series Data

Generate a data matrix of seasonal components

Description

Generate a data matrix of seasonal components, having two pattern cycles.

Usage

SeasComponent(wts, type)

Arguments

wts	A univeriate time series with monthly or quarterly frequency.
type	Types of patterns of seasonal cycle. ="dummyCycle", generating dummy variables for the pattern of seasonal cycle, Barsky & Miron (1989) ="trgCycle", generating trigonometric variables for the pattern of seasonal cycle, Granger & Newbold (1986).

Details

This function generates data matrix for controlling the pattern of seasonal cycles. type="dummyCycle" generates DUMMY variables with season frequency. type="trgCycle" generates trigonometric pattern.

Value

A dataframe returns. Number of columns is determined by frequency.

Author(s)

Ho Tsung-wu <[e-mail]>, modifed from Javier Lopez-de-Lacalle

References

Barsky, Robert B. and Jeffrey A. Miron (1989) The Seasonal Cycle and the Business Cycle. Journal of Political Economy, 97 (3): 503-32.
Granger, Clive William John and Newbold, Paul (1986) Forecasting Economic Time Series. 2nd edition. Published by New Milford, Connecticut, U.S.A.: Emerald Group Pub Ltd.
Javier Lopez-de-Lacalle in https://github.com/cran/uroot/blob/master/R/hegy.R

Examples

data(inf_Q)
y=inf_Q[,2]
SeasComponent(y,type="dummyCycle")
SeasComponent(y,type="trgCycle")

pdR documentation built on Aug. 21, 2023, 5:06 p.m.