CalendarVar: Calendar variables

In tfarima: Transfer Function and ARIMA Models

Calendar variables

Description

CalendarVar creates a set of deterministic variables to capture calendar effects.

Usage

CalendarVar(
  x,
  form = c("dif", "td", "td7", "td6", "wd", "wd2", "null"),
  ref = 0,
  lom = TRUE,
  lpyear = TRUE,
  easter = FALSE,
  len = 4,
  easter.mon = FALSE,
  n.ahead = 0
)

Arguments

x	an object of class ts used to determine the sample period and frequency.
form	a character indicated the set of calendar variables: td, td7, td6, wd.
ref	a non-negative integer indicating the reference day.
lom	logical. If TRUE length of the month effect is also estimated.
lpyear	logical. If TRUE a leap year effect is also estimated.
easter	logical. If TRUE an additional deterministic variable is generated to capture Easter effects.
len	duration of the Easter, integer.
easter.mon	logical. It is TRUE if Holy Monday is a public holiday.
n.ahead	number of additional observations to extend the sample period.

Value

An object of class mts or ts.

References

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

Examples

Y <- rsales
X <- CalendarVar(Y, easter = TRUE)

tfarima documentation built on May 20, 2022, 5:06 p.m.