CalendarVar: Calendar variables

In tfarima: Transfer Function and ARIMA Models

Calendar variables

Description

'CalendarVar()' creates a set of deterministic regressors to capture calendar effects (trading/working days, length-of-month, leap-year and Easter).

Usage

CalendarVar(
  x,
  form = c("dif", "td", "td7", "td6", "wd", "null"),
  ref = 0,
  lom = TRUE,
  lpyear = TRUE,
  easter = FALSE,
  len = 4,
  easter.mon = FALSE,
  n.ahead = 0
)

Arguments

x	A 'ts' object used to determine start, length and frequency.
form	Character selecting the set of calendar variables: '"dif"' (differences wrt reference day), '"td"' (6 dummies + lom; omits reference), '"td7"' (7 dummies), '"td6"' (6 dummies; omits reference), '"wd"' (weekdays vs weekend), or '"null"' (no trading-day regressors).
ref	Non-negative integer (0–6) indicating the reference day (0 = Sunday, 1 = Monday, …, 6 = Saturday). Ignored unless 'form' needs it.
lom	Logical. If 'TRUE' include a length-of-month regressor.
lpyear	Logical. If 'TRUE' include a leap-year regressor.
easter	Logical. If 'TRUE' include an Easter regressor.
len	Integer duration for Easter effect (days). Typical values: 4–8.
easter.mon	Logical. 'TRUE' if Holy Monday is a public holiday.
n.ahead	Integer. Extra observations to extend the sample (forecast horizon).

Value

An object of class 'ts' or 'mts' with the requested regressors.

References

Bell, W.R. and Hillmer, S.C. (1983) “Modeling time series with calendar variation”, *Journal of the American Statistical Association*, 78, 526–534.

Examples

X <- CalendarVar(AirPassengers, form = "wd", easter = TRUE, len = 5)

tfarima documentation built on Nov. 5, 2025, 7:43 p.m.