linking {hicp}

Linking-in new index series

Description

Function link() links a new index series to an existing one by an overlap period supplied. In the resulting linked index series, the new index series starts after the existing one. Function lsf() computes the level-shift factors for linking via the overlap periods in t.overlap. The level-shift factors can be applied to an index series that has already been linked by the standard HICP one-month overlap method using December of year t-1.

Usage

link(x, x.new, t, t.overlap=NULL)

lsf(x, x.new, t, t.overlap=NULL)

Arguments

x, x.new

numeric vector of index values. NA-values in the vectors indicate when the index series discontinues (for x) or starts (for x.new).

t

date vector

t.overlap

character specifying the overlap period to be used. Could be a whole year (YYYY) or a single year-month (YYYY-MM). Multiple periods can be provided. If NULL, all available overlap periods are considered.

Value

Function link() returns a numeric vector or a matrix of the same length as t, while lsf() provides a named numeric vector of the same length as t.overlap.

Author(s)

Sebastian Weinand

See Also

chain

Examples

# input data:
set.seed(1)
t <- seq.Date(from=as.Date("2015-01-01"), to=as.Date("2024-05-01"), by="1 month")
x.new <- rnorm(n=length(t), mean=100, sd=5)
x.new <- rebase(x=x.new, t=t, t.ref="2019-12")
x.old <- x.new + rnorm(n=length(x.new), sd=5)
x.old <- rebase(x=x.old, t=t, t.ref="2015")
x.old[t>as.Date("2021-12-01")] <- NA # current index discontinues in 2021
x.new[t<as.Date("2020-01-01")] <- NA # new index starts in 2019-12

# linking in new index in different periods:
plot(x=t, y=link(x=x.old, x.new=x.new, t=t, t.overlap="2021-12"),
     col="red", type="l", xlab=NA, ylab="Index", ylim=c(80,120))
lines(x=t, y=link(x=x.old, x.new=x.new, t=t, t.overlap="2020"), col="blue")
lines(x=t, y=link(x=x.old, x.new=x.new, t=t, t.overlap="2021"), col="green")
lines(x=t, y=x.old, col="black")
abline(v=as.Date("2021-12-01"), lty="dashed")
legend(x="topleft",
       legend=c("One-month overlap using December 2021",
                "Annual overlap using 2021",
                "Annual overlap using 2020"),
       fill=c("red","green","blue"), bty = "n")

# compute level-shift factors:
lsf(x=x.old, x.new=x.new, t=t, t.overlap=c("2020","2021"))

# level-shift factors can be applied to already chain-linked index series
# to obtain linked series using another overlap period:
x.new.chained <- link(x=x.old, x.new=x.new, t=t, t.overlap="2021-12")

# level-shift adjustment:
x.new.adj <- ifelse(test=t>as.Date("2021-12-01"),
                yes=x.new.chained*lsf(x=x.old, x.new=x.new, t=t, t.overlap="2020"),
                no=x.new.chained)

# compare:
all.equal(x.new.adj, link(x=x.old, x.new=x.new, t=t, t.overlap="2020"))