tfarima (version 0.4.1)

calendar.ssm: Calendar effects

Description

calendar extends the ARIMA model um by including a set of deterministic variables to capture the calendar variation in a monthly time series. Two equivalent representations are available: (i) D0, D1, ..., D6, (ii) L, D1-D0, ..., D6-D0 where D0, D2, ..., D6 are deterministic variables representing the number of Sundays, Mondays, ..., Saturdays, L = D0 + D1 + ... + D6 is the of the month. Alternatively, the Leap Year indicator (LPY) can be included instead of L. The seven trading days can also be compacted into two variables: week days and weekends. Optionally, a deterministic variable to estimate the Easter effect can also be included, see "easter".

Usage

# S3 method for ssm
calendar(
  mdl,
  form = c("dif", "td", "td7", "td6", "wd"),
  ref = 0,
  lom = TRUE,
  lpyear = TRUE,
  easter = FALSE,
  len = 4,
  easter.mon = FALSE,
  n.ahead = 0,
  p.value = 1,
  envir = NULL,
  ...
)
# S3 method for tfm
calendar(
  mdl,
  y = NULL,
  form = c("dif", "td", "td7", "td6", "wd"),
  ref = 0,
  lom = TRUE,
  lpyear = TRUE,
  easter = FALSE,
  len = 4,
  easter.mon = FALSE,
  n.ahead = 0,
  p.value = 1,
  envir = parent.frame(),
  ...
)
calendar(mdl, ...)
# S3 method for um
calendar(
  mdl,
  y = NULL,
  form = c("dif", "td", "td7", "td6", "wd"),
  ref = 0,
  lom = TRUE,
  lpyear = TRUE,
  easter = FALSE,
  len = 4,
  easter.mon = FALSE,
  n.ahead = 0,
  p.value = 1,
  envir = parent.frame(),
  ...
)

Value

An object of class "tfm".

Arguments

mdl

an object of class um or tfm.

form

representation for calendar effects: (1) form = dif, L, D1-D0, ..., D6-D0; (2) form = td, LPY, D1-D0, ..., D6-D0; (3) form = td7, D0, D2, ..., D6; (4) form = td6, D1, D2, ..., D6; (5) form = wd, (D1+...+D5) - 2(D6+D0)/5.

ref

a integer indicating the the reference day. By default, ref = 0.

lom, lpyear

a logical value indicating whether or not to include the lom/lead year indicator.

easter

logical. If TRUE an Easter effect is also estimated.

len

the length of the Easter, integer.

easter.mon

logical. TRUE indicates that Easter Monday is a public holiday.

n.ahead

a positive integer to extend the sample period of the deterministic variables with n.ahead observations, which could be necessary to forecast the output.

p.value

estimates with a p-value greater than p.value are omitted.

envir

environment in which the function arguments are evaluated. If NULL the calling environment of this function will be used.

...

other arguments.

y

a time series.

References

W. R. Bell & S. C. Hillmer (1983) Modeling Time Series with Calendar Variation, Journal of the American Statistical Association, 78:383, 526-534, DOI: 10.1080/01621459.1983.10478005

Examples

data(rsales)
um1 <- um(rsales, i = list(1, c(1, 12)), ma = list(1, c(1, 12)), bc = TRUE)
tfm1 <- calendar(um1)