periodic_dummies: Periodic dummies and contrasts

In palatej/rjd3toolkit: Utility Functions Around 'JDemetra+ 3.0'

Periodic dummies and contrasts

Description

Periodic dummies and contrasts

Usage

periodic_dummies(frequency, start, length, s)

periodic_contrasts(frequency, start, length, s)

Arguments

frequency	Frequency of the series, number of periods per year (12, 4, 3, 2...)
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.

Details

The function periodic_dummies creates as many time series as types of periods in a year (4 or 12) with the value one only for one given type of period (ex Q1) The periodic_contrasts function is based on periodic_dummies but adds -1 to the period preceding a 1.

Examples

# periodic dummies for a quarterly series
p <- periodic_dummies(4, c(2000, 1), 60)
# periodic contrasts for a quarterly series
q <- periodic_contrasts(4, c(2000, 1), 60)
q[1:9, ]

palatej/rjd3toolkit documentation built on April 17, 2025, 10:47 p.m.