Select Regressors for One or Multiple Series

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.

select_regs(series, ...)

Arguments

series

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

...

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().

Value

A data.frame with two columns:

series

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

reg_selected

Name of the selected regressor set.

Examples

# Single series
select_regs(AirPassengers)
#> Computing spec Pas_CJO ...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 !
#> [1] "REG6"

# Multiple series
select_regs(Seatbelts[, -8])
#> 
#> Série DriversKilled en cours... 1/7 
#> Computing spec Pas_CJO ...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 !
#> Warning: Aucun jeu de regresseur n'est significatif. (Série DriversKilled)
#> 
#> Série drivers en cours... 2/7 
#> Computing spec Pas_CJO ...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 !
#> Warning: Aucun jeu de regresseur n'est significatif. (Série drivers)
#> 
#> Série front en cours... 3/7 
#> Computing spec Pas_CJO ...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 rear en cours... 4/7 
#> Computing spec Pas_CJO ...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 kms en cours... 5/7 
#> Computing spec Pas_CJO ...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 PetrolPrice en cours... 6/7 
#> Computing spec Pas_CJO ...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 VanKilled en cours... 7/7 
#> Computing spec Pas_CJO ...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 !
#> Warning: Aucun jeu de regresseur n'est significatif. (Série VanKilled)
#>      series          reg_selected
#> [1,] "DriversKilled" "Pas_CJO"   
#> [2,] "drivers"       "REG6"      
#> [3,] "front"         NA          
#> [4,] "rear"          "REG3"      
#> [5,] "kms"           "REG3"      
#> [6,] "PetrolPrice"   "REG2"      
#> [7,] "VanKilled"     "Pas_CJO"