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, ]
#>       Series 1 Series 2 Series 3
#>  [1,]        1        0        0
#>  [2,]        0        1        0
#>  [3,]        0        0        1
#>  [4,]       -1       -1       -1
#>  [5,]        1        0        0
#>  [6,]        0        1        0
#>  [7,]        0        0        1
#>  [8,]       -1       -1       -1
#>  [9,]        1        0        0