Seasonal dummy variables

seasonaldummy returns a matrix of dummy variables suitable for use in Arima(), auto.arima() or tslm(). The last season is omitted and used as the control.

Usage

seasonaldummy(x, h = NULL)

seasonaldummyf(x, h)

Arguments

x: Seasonal time series: a ts or a msts object
h: Number of periods ahead to forecast (optional)

Value

Numerical matrix.

Details

seasonaldummyf is deprecated, instead use the h argument in seasonaldummy.

The number of dummy variables is determined from the time series characteristics of x. When h is missing, the length of x also determines the number of rows for the matrix returned by seasonaldummy. the value of h determines the number of rows for the matrix returned by seasonaldummy, typically used for forecasting. The values within x are not used.

Author

Rob J Hyndman

Examples


plot(ldeaths)


# Using seasonal dummy variables
month <- seasonaldummy(ldeaths)
deaths.lm <- tslm(ldeaths ~ month)
tsdisplay(residuals(deaths.lm))

ldeaths.fcast <- forecast(
  deaths.lm,
  data.frame(month = I(seasonaldummy(ldeaths, 36)))
)
plot(ldeaths.fcast)


# A simpler approach to seasonal dummy variables
deaths.lm <- tslm(ldeaths ~ season)
ldeaths.fcast <- forecast(deaths.lm, h = 36)
plot(ldeaths.fcast)