Make Indicator Matrices (Impulses, Steps, Trends)

Auxiliary functions to make, respectively, matrices of impulse indicators (iim), step indicators (sim) and trend indicators (tim)

Usage

##make matrix of impulse indicators:
iim(x, which.ones = NULL)

##make matrix of step indicators:
sim(x, which.ones = NULL)

##make matrix of trend indicators:
tim(x, which.ones = NULL, log.trend = FALSE)

Arguments

x: either an integer (the length of the series in question) or a series (a vector or matrix) from which to use the time-series index to make indicators of
which.ones: the locations of the impulses. If NULL (the default), then all impulses are returned
log.trend: logical. If TRUE, then the natural log is applied on the trends

Details

If x is a series or vector of observations, then the index of x will be used for the labelling of the impulses, and in the returned zoo object.

Note: For sim and tim the first indicator is removed, since it is exactly colinear with the others.

Value

A zoo matrix containing the impulses

Author

Genaro Sucarrat, http://www.sucarrat.net/

Examples

##generate series:
y <- rnorm(40)

##make matrix of impulse indicators:
mIIM <- iim(40)

##make matrix of step-indicators, but only every third:
mSIM <- sim(y, which.ones=seq(1,40,3))

##give quarterly time-series attributes to y-series:
y <- zooreg(y, frequency=4, end=c(2015,4))

##make matrix of trend-indicators with quarterly labels:
mTIM <- tim(y)