calendar_td: Calendar specific trading days variables

In palatej/rjd3modelling: Time Series Modelling Functions with 'JDemetra+ 3.0'

Calendar specific trading days variables

Description

Calendar specific trading days variables

Usage

calendar_td(
  calendar,
  frequency,
  start,
  length,
  s,
  groups = c(1, 2, 3, 4, 5, 6, 0),
  holiday = 7,
  contrasts = TRUE,
  meanCorrection = contrasts
)

Arguments

calendar	The calendar.
frequency	Annual frequency (divisor of 12).
start, length	First date (array with the first year and the first period) (for instance c(1980, 1)) and number of periods of the output variables. Can also be provided with the s argument
s	time series used to get the dates for the trading days variables. If supplied the parameters frequency, start and length are ignored.
groups	Groups of days. The length of the array must be 7. It indicates to what group each week day belongs. The first item corresponds to Mondays and the last one to Sundays. The group used for contrasts (usually Sundays) is identified by 0. The other groups are identified by 1, 2,... n (<= 6). For instance, usual trading days are defined by c(1,2,3,4,5,6,0), week days by c(1,1,1,1,1,0,0), week days, Saturdays, Sundays by c(1,1,1,1,1,2,0) etc...
holiday	Day for holidays (holidays are considered as that day). 1 for Monday... 7 for Sunday. Doesn't necessary belong to the 0-group.
contrasts	If true, the variables are defined by contrasts with the 0-group. Otherwise, raw number of days are provided
meanCorrection	boolean indicating if the regressors are corrected for long-term term. By default the correction is done if contrasts = TRUE.

Value

The variables corresponding to each group, starting with the 0-group (contrasts = FALSE) or the 1-group (contrasts = TRUE).

Examples

BE<-national_calendar(list(
    fixed_day(7,21),
    special_day('NEWYEAR'),
    special_day('CHRISTMAS'),
    special_day('MAYDAY'),
    special_day('EASTERMONDAY'),
    special_day('ASCENSION'),
    special_day('WHITMONDAY'),
    special_day('ASSUMPTION'),
    special_day('ALLSAINTSDAY'),
    special_day('ARMISTICE')))
calendar_td(BE, 12, c(1980,1), 240)

palatej/rjd3modelling documentation built on Jan. 3, 2023, 10:19 p.m.