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Select Calendar Regressors for One or Multiple Series

Source: R/select.R
select_td.Rd

Applies the X13 regression selection procedure to one or more time series. If multiple series are provided as columns of a matrix or data.frame, each series is processed separately. The function returns the selected set of regressors for each series.

Usage

select_td(
  series,
  context = NULL,
  ...,
  thresholds = getOption("rjd3production.thresholds"),
  verbose = TRUE
)

Arguments

series

[ts or mts or matrix or data.frame] A univariate time series (ts) or a multivariate series (columns as separate series).

context

list Modeling context created by rjd3toolkit::modelling_context().

...

Additional arguments passed to create_specs_set() controlling the generation of X13 specifications. Possible arguments include:

outliers

Optional list of outliers with elements type (vector of types, e.g., "AO", "LS", "TC") and date (vector of dates).

span_start

Starting date of the estimation (character, format "YYYY-MM-DD").

...

Other arguments accepted by create_specs_set().

thresholds

The thresholds used to compare the different model and set a grade to an adjustment based on the td residuals p-value and leap year significancy.

verbose

Boolean indicating whether to print additional information. Default is TRUE.

Value

A data.frame with two columns:

series

Name of the series (column name if series is multivariate).

regs

Name of the selected regressor set.

Examples

library("rjd3toolkit")

# \donttest{
# Single series
select_td(ABS[, 1])
#> 
#> Série my_series en cours... 1/1 
#> Computing spec No_TD ...Done !
#> Computing spec REG1 ...Done !
#> Computing spec REG2 ...Done !
#> Computing spec REG3 ...Done !
#> Computing spec REG5 ...Done !
#> Computing spec REG6 ...Done !
#> Computing spec LY ...Done !
#> Computing spec REG1_LY ...Done !
#> Computing spec REG2_LY ...Done !
#> Computing spec REG3_LY ...Done !
#> Computing spec REG5_LY ...Done !
#> Computing spec REG6_LY ...Done !
#>      series regs
#> 1 my_series REG6

# Multiple series
select_td(ABS[, 5:7])
#> 
#> Série X0.2.05.10.M en cours... 1/3 
#> Computing spec No_TD ...Done !
#> Computing spec REG1 ...Done !
#> Computing spec REG2 ...Done !
#> Computing spec REG3 ...Done !
#> Computing spec REG5 ...Done !
#> Computing spec REG6 ...Done !
#> Computing spec LY ...Done !
#> Computing spec REG1_LY ...Done !
#> Computing spec REG2_LY ...Done !
#> Computing spec REG3_LY ...Done !
#> Computing spec REG5_LY ...Done !
#> Computing spec REG6_LY ...Done !
#> 
#> Série X0.2.04.10.M en cours... 2/3 
#> Computing spec No_TD ...Done !
#> Computing spec REG1 ...Done !
#> Computing spec REG2 ...Done !
#> Computing spec REG3 ...Done !
#> Computing spec REG5 ...Done !
#> Computing spec REG6 ...Done !
#> Computing spec LY ...Done !
#> Computing spec REG1_LY ...Done !
#> Computing spec REG2_LY ...Done !
#> Computing spec REG3_LY ...Done !
#> Computing spec REG5_LY ...Done !
#> Computing spec REG6_LY ...Done !
#> 
#> Série X0.2.03.10.M en cours... 3/3 
#> Computing spec No_TD ...Done !
#> Computing spec REG1 ...Done !
#> Computing spec REG2 ...Done !
#> Computing spec REG3 ...Done !
#> Computing spec REG5 ...Done !
#> Computing spec REG6 ...Done !
#> Computing spec LY ...Done !
#> Computing spec REG1_LY ...Done !
#> Computing spec REG2_LY ...Done !
#> Computing spec REG3_LY ...Done !
#> Computing spec REG5_LY ...Done !
#> Computing spec REG6_LY ...Done !
#>         series regs
#> 1 X0.2.05.10.M REG3
#> 2 X0.2.04.10.M REG3
#> 3 X0.2.03.10.M REG5

# Restrict regressors sets
my_context <- create_insee_context(s = ABS)
my_context$variables <- my_context$variables[c("REG1", "REG1_LY", "REG6", "REG6_LY")]
select_td(ABS[, 5:7], context = my_context)
#> 
#> Série X0.2.05.10.M en cours... 1/3 
#> Computing spec No_TD ...Done !
#> Computing spec REG1 ...Done !
#> Computing spec REG1_LY ...Done !
#> Computing spec REG6 ...Done !
#> Computing spec REG6_LY ...Done !
#> 
#> Série X0.2.04.10.M en cours... 2/3 
#> Computing spec No_TD ...Done !
#> Computing spec REG1 ...Done !
#> Computing spec REG1_LY ...Done !
#> Computing spec REG6 ...Done !
#> Computing spec REG6_LY ...Done !
#> 
#> Série X0.2.03.10.M en cours... 3/3 
#> Computing spec No_TD ...Done !
#> Computing spec REG1 ...Done !
#> Computing spec REG1_LY ...Done !
#> Computing spec REG6 ...Done !
#> Computing spec REG6_LY ...Done !
#>         series regs
#> 1 X0.2.05.10.M REG6
#> 2 X0.2.04.10.M REG6
#> 3 X0.2.03.10.M REG6
# }