cubs {RGAP}

CUBS indicator

Description

Computes the capacity utilization economic sentiment (CUBS) indicator.

Usage

cubs(tsCU, tsVA, frequency = 1, lambda = NULL)

Arguments

tsCU

A multiple time series containing three survey time series, the first element needs to be capacity utilization in industry, see details. Alternatively, a list of time series can be supplied.

tsVA

A multiple time series containing three value added series that correspond to tsCU. Alternatively, a list of time series can be supplied.

frequency

The frequency of the computed cubs indicator. Possible entries are frequency = 1 (annual), frequency = 4 (quarterly). The default is frequency = 1.

lambda

The smoothing parameter for the application of the HP filter (see details). If not supplied, lambda = 6.25 is used for yearly data and lambda = 1600 for quarterly data.

Details

The list tslCU contains capacity utilization in industry, and the relevant survey outcomes of the construction and service sector. The first list object needs to contain capacity utilization in industry.

The list tslVA contains the real value added series for the industry, construction and service sector in the same order as tslCU.

The computed CUBS indicator consists exclusively of capacity utilization in industry until both other series become available.

Value

A list containing the two time series capacity utilization in industry cu and the CUBS indicator cubs.

Examples

# load data for Germany
data("gap")
country <- "Germany"

# compute cubs indicator
namesCubs <- c("indu", "serv", "buil")
namesVACubs <- paste0("va", namesCubs)
tscubs <- cubs(
  tsCU = gap[[country]][, namesCubs],
  tsVA = gap[[country]][, namesVACubs]
)