gen_movereg_holiday_xts: Generate Movreg holiday regression matrix, using xts series...

In bcmonsell/airutilities: Support routines for fractional airline decomposition routines in the rjd3highfreq package

Generate Movreg holiday regression matrix, using xts series as input

Description

Generates a matrix with holiday regressors as defined within the BLS weekly adjustment program Movereg

Usage

gen_movereg_holiday_xts(
  hol_n,
  hol_index,
  hol_wt,
  hol_type,
  this_week,
  this_year,
  return_xts = FALSE
)

Arguments

hol_n	Numeric scalar; number of weights for this particular holiday
hol_index	Numeric scalar; position of holiday within the weight vector
hol_wt	Numeric vector; weight vector for holiday effect
hol_type	Character scalar; Type of holiday ('newyear' for New Years Day, 'mlk' for MLK Observance, 'president' for President's Day, 'easter' for Easter, 'memorial' for Memorial Day, 'july4' for Independence Day, 'labor' for Labor Day, 'columbus' for Columbus Day, 'veteran' for Veterans Day, 'thanks' for Thanksgiving).
this_week	Numeric vector; Week of the year for each observation, stored as an xts time series object.
this_year	Numeric vector; Year of each observation, stored as an xts time series object.
return_xts	Logical scalar; return matrix as an xts time series object. Default is FALSE.

Value

Generate matrix of holiday regressors as defined within the BLS weekly adjustment program Movereg

Examples

ic_easter_xts  <-
  gen_movereg_holiday_xts(hol_n = 8,
                          hol_index = 8,
                          hol_wt = c(1, 0, 0, 0, 0, 0, 0, 0),
                          hol_type = 'easter',
                          this_week = ic_week_xts,
                          this_year = ic_year_xts)
ic_labor_xts  <-
  gen_movereg_holiday_xts(hol_n = 2,
                          hol_index = 2,
                          hol_wt = c(0, 1),
                          hol_type = 'labor',
                          this_week = ic_week_xts,
                          this_year = ic_year_xts)
ic_thanksgiving_xts <-
  gen_movereg_holiday_xts(hol_n = 1,
                          hol_index = 1,
                          hol_wt = array(1, dim=1),
                          hol_type = 'thanksgiving',
                          this_week = ic_week_xts,
                          this_year = ic_year_xts)
ic_holiday_matrix_reduced_xts <- 
   cbind(ic_easter_xts, ic_labor_xts, ic_thanksgiving_xts)
colnames(ic_holiday_matrix_reduced_xts) <- c('easter', 'labor', 'thanksgiving')

bcmonsell/airutilities documentation built on May 16, 2022, 3:23 p.m.