[R] Help fCalendar holidayNYSE for Regressors

From: Idgarad <idgarad_at_gmail.com>
Date: Tue, 17 Jun 2008 10:50:28 -0500


I am working with weekly time series data as in:

tsData=ts(data,start=c(2004,1),freq=52)

I have a table of regression variables that matchs called cReg (loaded from an xls sheet).

I would like to append to the cReg table dummy variables for all the holidays as calculated from the fCalendar package for instance, Easter, Christmas, Memorial Day, etc.)

The problem I am running into is how to get the data that I can get from the fCalendar package into something useful for time series analysis such that my sampled data tsData is weekly but the holiday functions are giving me raw dates.

In short I need to be able to answer "Does this week have a christmas in it? Does this week contain Memorial day, etc."

Any ideas?



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