Time and Dummy Variables

Working with factor models enables the use of time variables (that increase by 1 with each next observation: 1, 2, 3, 4, and so on) and dummy variables (each series observation can have only the value of 0 or 1). Time and dummy variables are ignored in scenarios and do not depend on them. These variables are available in the determinate equation.

If variable's parameter is a date, you can specify a specific date (for example, 01.01.2009) or indicate the date using calendar frequency (annual/quarterly/monthly). Date format:

<Year_number><frequency><frequency_value>

The <frequency> parameter defining the frequency is specified as A for annual frequency, M for monthly frequency and Q for quarterly frequency. The <frequency_value> parameter indicates the number of month or quarter.

For example, 2010M09 corresponds to September 2010, and 2009Q4 to the fourth quarter of 2009.

Time Variables

Time

Syntax:

Time([StartDate: String = "";][CustomFrequency = 0])

The Time variable creates a time series, which value increases by one for each successive observation.

Parameters:

StartDate. Reference date that is used to create values. Observation at this point has zero value. Optional parameter. Default parameter value matches the sample period start date.
CustomFrequency. The frequency, which values are created. Optional parameter. By default, the frequency is undefined and matches the model frequency.

For example:

Time("01.01.2006")

Assume that the sample period start date is 01.01.2003, and the end date is 01.01.2009. The variable will contain the following values:

Year	2003	2004	2005	2006	2007	2008	2009
Value of Time	-3	-2	-1	0	1	2	3

Dummy Variables

Seas

Syntax:

Seas(Index: Integer; [CustomFrequency: MsFrequancy = 0])

The Seas variable returns a dummy variable, each element of which indicates whether the observation belongs to the specified period in the current year. The year is divided in accordance with series calendar frequency.

NOTE. The variable is available for all frequencies except for the annual one.

Parameters:

Index. Period of a year. Value for quarterly frequency models is in the range [1, 4], for monthly frequency models is in the range [1, 12], and so on.
CustomFrequency. The frequency, which values are created. Optional parameter. By default, the frequency is undefined and matches the model frequency.

For example:

Seas(4)

Suppose that a model has quarterly frequency, start date of the sample period is 01.01.2003, and end date is 31.12.2004. The variable will contain the following values:

Year	I quarter of 2003	II quarter of 2003	III quarter of 2003	IV quarter of 2003
Value of the output variable	0,12	0,13	0,11	0,14
Value of Seas	0	0	0	1

Year	I quarter of 2004	II quarter of 2004	III quarter of 2004	IV quarter of 2004
Value of the output variable	0,38	0,47	0,67	0,64
Value of Seas	0	0	0	1

IsPeriod

Syntax:

IsPeriod(StartDate: String; [EndDate: String = "SameDate";][CustomFrequency: MsFrequancy = 0])

The IsPeriod variable returns a dummy variable that determines whether the observation hits the specified period.

Parameters:

StartDate. Period start date.
EndDate. Period end date. Optional parameter. Default value matches the period start date.
CustomFrequency. The frequency, which values are created. Optional parameter. By default, the frequency is undefined and matches the model frequency.

The following dummy variables can be implemented within this operator:

Single Jump. Only one of the series values must be highlighted. For example, in a series with monthly frequency you need to select only value for July 2008, then the variable will look as follows: IsPeriod ("2008M07").

Jump to a Certain Period. The series values hitting the specified range must be highlighted. For example, in a series with monthly frequency you need to select values starting from July 2008 to July 2009, then the variable will look as follows: IsPeriod ("2008M07","2009M07").
Jump from a Certain Date to the End. For example, in a series with monthly frequency you need to select values starting from July 2008, then the variable will look as follows: IsPeriod ("2008M07",NoDate).
Jump to a Certain Date. For example, in a series with monthly frequency you need to select values starting from the observation start date to July 2008, then the operator will look as follows: IsPeriod (NoDate,"2008M07").