PROTO EASTER EFFECT

[rmendez]

Corrections and Improvements Wellcomed

Regards,
Rodolfo

*
* @ProtoEasterEffect(options) start end dummy
*
* EasterEffect generate a monthly dummy with the fraction of
* easter season corresponding to each month. It is intended to
* control by easter effect in the estimation of ARIMA models.
* The code is based on an algorithm proposed by Carl Friedrich Gauss.
* References:
* Wikipedia (http://en.wikipedia.org/wiki/Computus)
*
* Parameters:
*
* dummy = (output) SERIES[REAL] of fractions
* start = (input) beginhing of sample
* end = (input) end of sample
* Options:
* length = easter season's length
*
* Revision Schedule:
* 01/05/2007 Written by Rodolfo Méndez & José Felix Izquierdo, BBVA Research Department
*
*
*
procedure EasterEffect start end dummy
type series *dummy
type integer start end

option real length 10

local rect matrix
local integer a b c d e m n march yearaux year aux startaux endaux
local real z

compute aux = %year(end)-%year(start)+1


dim matrix(aux,2)

ewise matrix(i,j) = 0.0

set series / = %NA
set series start end = 0.0

do year = %year(start),%year(end)
{
compute a = %mod(year,19)
compute b = %mod(year,4)
compute c = %mod(year,7)
compute dvalor = 19*a+24
compute d = %mod(dvalor,30)
compute evalor = 2*b+4*c+6*d+5
compute e = %mod(evalor,7)

compute march = 22+d+e
compute z = march-31.0
compute yearaux = year-%year(start)+1

if (z>0 .and. length-z>0)
{
compute matrix(yearaux,1) = (length-z)/length
compute matrix(yearaux,2) = z/length
}

else if (z>0 .and. length-z<=0)
compute matrix(yearaux,2) = 1.0

else
compute matrix(yearaux,1) = 1.0

}

end


medit(hlabels=||'MARCH','APRIL'||) matrix



compute startaux = start-%month(start)+1
compute endaux = end+(12-%month(end))

set dummy startaux endaux = 0.0
set dummy * startaux-1 = %NA
set dummy endaux+1 * = %NA


compute firstmarch = startaux+2
compute firstapril = startaux+3
compute lastmarch = endaux-9
compute lastapril = endaux-8

compute march = startaux+2-12
compute april = startaux+3-12

do date = 1,%year(end)-%year(start)+1
compute march = march+12
compute april = april+12
set dummy march march = matrix(date,1)
set dummy april april = matrix(date,2)
end



end