Allows to generate a regressor correcting for the leap year or length-of-period effect.
Usage
lp_variable(
frequency,
start,
length,
s,
type = c("LeapYear", "LengthOfPeriod")
)
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 thes
argument- s
time series used to get the dates for the trading days variables. If supplied the parameters
frequency
,start
andlength
are ignored.- type
the modelling of the leap year effect: as a contrast variable (
type = "LeapYear"
, default) or by a length-of-month (or length-of-quarter;type = "LengthOfPeriod"
).
References
More information on calendar correction in JDemetra+ online documentation: https://jdemetra-new-documentation.netlify.app/a-calendar-correction
Examples
# Leap years occur in year 2000, 2004, 2008 and 2012
lp_variable(4, start = c(2000, 1), length = 4 * 13)
#> Qtr1 Qtr2 Qtr3 Qtr4
#> 2000 0.75 0.00 0.00 0.00
#> 2001 -0.25 0.00 0.00 0.00
#> 2002 -0.25 0.00 0.00 0.00
#> 2003 -0.25 0.00 0.00 0.00
#> 2004 0.75 0.00 0.00 0.00
#> 2005 -0.25 0.00 0.00 0.00
#> 2006 -0.25 0.00 0.00 0.00
#> 2007 -0.25 0.00 0.00 0.00
#> 2008 0.75 0.00 0.00 0.00
#> 2009 -0.25 0.00 0.00 0.00
#> 2010 -0.25 0.00 0.00 0.00
#> 2011 -0.25 0.00 0.00 0.00
#> 2012 0.75 0.00 0.00 0.00
lper <- lp_variable(12, c(2000, 1), length = 10 * 12, type = "LengthOfPeriod")