-
Notifications
You must be signed in to change notification settings - Fork 8
Description
Hi,
I'm unsure whether this is an issue for here or for the Java code - I suspect the issue may lie in the Java code, but I found it when running this code, so I'll report it here.
My attached code (apologies for the extra .txt at the end, GitHub won't take an R file) creates four specifications which are all identical except two have Easter regressors and two don't, and two have moving trading day and two don't. For the two without moving trading day, one has the Easter regressors and the other one doesn't, so the seasonally adjusted series from each should be different, which they are. For the two with moving trading day however, one has the Easter regressors and the other one doesn't, so the seasonally adjusted series from each should be different, but they're not. So it appears that turning on moving trading day is somehow disabling user defined regressors.
Testing JD+ R regression functionality.R.txt
I've used a file with regressors for Easter (with linearly increasing effect for the 7 days prior to Easter and constant effect for the 4 days of the Easter long weekend, as two separate regressors) as I didn't want to use a regressor that was associated with trading day. I put it in the data folder for running the code.
EasterQuL_74.txt
Thanks,
Peter.