Trading day regressors with pre-defined holidays

Allows to generate trading day regressors (as many as defined groups), taking into account 7 or less different types of days, from Monday to Sunday, and specific holidays,which are to defined beforehand in a calendar using the functions national_calendar,weighted_calendar or Chained_calendar.

Usage

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

Arguments

calendar: The calendar containing the required holidays
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.
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 to aggregate holidays with. (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 is provided.

Value

Time series (object of class c("ts","mts","matrix")) corresponding to each group, starting with the 0-group (contrasts = FALSE) or the 1-group (contrasts = TRUE).

Details

Aggregated values for monthly or quarterly are the numbers of days belonging to a given group, holidays are all summed together in of those groups. Contrasts are the differences between the number of days in a given group (1 to 6) and the number of days in the reference group (0). Regressors are corrected for long-term mean if contrasts = TRUE.

References

More information on calendar correction in JDemetra+ online documentation: https://doc.jdemetra.org/a-calendar-correction

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,
    holiday = 7, groups = c(1, 1, 1, 2, 2, 3, 0),
    contrasts = FALSE
)
#> Error in .jcheck(silent = FALSE): java.lang.ExceptionInInitializerError