CalibrateSSB (version 1.3.0)

LinCombMatrix: Creation of linear combination matrices

Description

Create matrices for changes (LagDiff), means (Period) and mean changes (PeriodDiff).

Usage

LinCombMatrix(
  n,
  period = NULL,
  lag = NULL,
  k = 0,
  takeMean = TRUE,
  removerows = TRUE,
  overlap = FALSE
)
LagDiff(n, lag = 1, removerows = TRUE)
Period(
  n,
  period = 1,
  k = 0,
  takeMean = TRUE,
  removerows = TRUE,
  overlap = FALSE
)
PeriodDiff(
  n,
  period = 1,
  lag = period,
  k = 0,
  takeMean = TRUE,
  removerows = TRUE,
  overlap = FALSE
)

Arguments

n

Number of variables

period

Number of variables involved in each period

lag

Lag used for difference calculation

k

Shift the start of each period

takeMean

Calculate mean over each period (sum when FALSE)

removerows

Revove incomplete rows

overlap

Overlap between periods (moving averages)

Value

Linear combination matrix

Examples

# NOT RUN {
# We assume two years of four quarters (n=8)

# Quarter to quarter differences
LagDiff(8)

# Changes from same quarter last year
LagDiff(8,4)

# Yearly averages
Period(8,4)

# Moving yearly averages
Period(8,4,overlap=TRUE)

# Difference between yearly averages
PeriodDiff(8,4) # Also try n=16 with overlap=TRUE/FALSE

# Combine two variants and add row names
lc = rbind(LagDiff(8,4),PeriodDiff(8,4))
rownames(lc) = c("diffQ1","diffQ2","diffQ3","diffQ4","diffYearMean")
lc

# }