Daily calendar regressors corresponding to holidays

Allows to generate daily regressors (dummy variables) corresponding to each holiday of a pre-defined calendar.

Usage

holidays(
  calendar,
  start,
  length,
  nonworking = c(6, 7),
  type = c("Skip", "All", "NextWorkingDay", "PreviousWorkingDay"),
  single = FALSE
)

Arguments

calendar

The calendar in which the holidays are defined.

start

Starting date for the regressors, format "YYYY-MM-DD".

length

Length of the regressors in days.

nonworking

Indexes of non working days (Monday=1, Sunday=7).

type

Adjustment type when a holiday falls on a week-end: "NextWorkingDay": the holiday is set to the next day, "PreviousWorkingDay": the holiday is set to the previous day, "Skip": holidays corresponding to non working days are simply skipped in the matrix, "All": (holidays are always put in the matrix, even if they correspond to a non working day.

single

Boolean indication if a single variable (TRUE) should be returned or a matrix (FALSE, the default) containing the different holidays in separate columns.

Value

A matrix (class "matrix") where each column is associated to a holiday (in the order of creation of the holiday) and each row to a date.

Details

The pre-defined in a calendar has to be created with the functions national_calendar or weighted_calendar or weighted_calendar. A many regressors as defined holidays are generated, when the holiday occurs the value is 1 and 0 otherwise. This kind of non-aggregated regressors are used for calendar correction in daily data.

References

More information on calendar correction in JDemetra+ online documentation: https://jdemetra-new-documentation.netlify.app/a-calendar-correction

See also

calendar_td

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")
))
q <- holidays(BE, "2021-01-01", 366 * 10, type = "All")
plot(apply(q, 1, max))