gpindex (version 0.6.2)

splice_index: Splice an index series

Description

Splice a collection of index series computed over a rolling window into one index series. Splicing on multiple points combines the results with a geometric mean.

Usage

splice_index(x, periods = NULL, initial = NULL, published = FALSE)

Value

A numeric vector giving the spliced (fixed-base) index series.

Arguments

x

A list of equal-length numeric vectors giving the period-over-period indexes for each window.

periods

An integer vector giving the splice points for each window. The default splices on each point in the window.

initial

A numeric vector giving an initial period-over-period index series onto which the elements of x are spliced. The default uses the first element of x.

published

Should the splice be done against the published series? The default splices using the recalculated index series.

References

Chessa, A. G. (2019). A Comparison of Index Extension Methods for Multilateral Methods. Paper presented at the 16th Meeting of the Ottawa Group on Price Indices, 8-10 May 2019, Rio de Janeiro, Brazil.

Krsinich, F. (2016). The FEWS index: Fixed effects with a window splice. Journal of Official Statistics, 32(2), 375-404.

See Also

Other price index functions: geks(), index_weights(), price_indexes

Examples

# Make an index series over a rolling window
x <- list(c(1.1, 0.9, 1.2), c(0.8, 1.3, 1.4), c(1.3, 1.3, 0.8))

# Mean splice

splice_index(x)

# Movement splice

splice_index(x, 3)

# Window splice

splice_index(x, 1)

# Splicing on the published series preserves the within-window
# movement of the index series

splice_index(x, 1, published = TRUE)