SeasComponent function

Generate a data matrix of seasonal components

Generate a data matrix of seasonal components, having two pattern cycles.

SeasComponent(wts, type)

Arguments

• wts: A univeriate time series with monthly or quarterly frequency.

• type: Types of patterns of seasonal cycle.

  ="dummyCycle", generating dummy variables for the pattern of seasonal cycle, Barsky & Miron (1989)

  ="trgCycle", generating trigonometric variables for the pattern of seasonal cycle, Granger & Newbold (1986).

Details

This function generates data matrix for controlling the pattern of seasonal cycles. type="dummyCycle" generates DUMMY variables with season frequency. type="trgCycle" generates trigonometric pattern.

Returns

A dataframe returns. Number of columns is determined by frequency.

References

Barsky, Robert B. and Jeffrey A. Miron (1989) The Seasonal Cycle and the Business Cycle. Journal of Political Economy, 97 (3): 503-32.

Granger, Clive William John and Newbold, Paul (1986) Forecasting Economic Time Series. 2nd edition. Published by New Milford, Connecticut, U.S.A.: Emerald Group Pub Ltd.

Javier Lopez-de-Lacalle in https://github.com/cran/uroot/blob/master/R/hegy.R

Author(s)

Ho Tsung-wu tsungwu@ntnu.edu.tw, modifed from Javier Lopez-de-Lacalle

Examples

data(inf_Q)
y=inf_Q[,2]
SeasComponent(y,type="dummyCycle")
SeasComponent(y,type="trgCycle")