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There is no "c" or concetration function for timeDate
objects. And the append function cannot be used to splice together two
timeDate sequences. How then do you build irregular time series, e.g. how do you
build a daily sequence that avoids the 9/11/01 shutdown dates at the NYSE and
other exchanges?
I discovered an easy way that works for
version 6.0 or 6.1 on any Windows 98 or later system. To splice together two
timeDate objects say td1 and td2 use the following function:
# ----------------Concetrate
TimeDates------------
# This function allows
the creation of irregular timeDate
# sequences without
tears.
c. time <-
function(td.one,td.two)
{
tda <-
append(td.one, td.two)
dates(append(tda[[ 1]] [[ 1]], tda[[ 6 ]] [[ 1 ]]
}
Thus to create a timedate sequence of
only the trading days for 2001 you cannot simply use the holiday.NYSE and
bizdays functions because they do not include the abrupt shutdown of the trading
caused by the catastrophe. Here's how you do it:
td.one <- timeSeq(from =
"1/2/01", to = "9/10/01", by = "bizdays", holidays = holiday.NYSE(2001)
)
td.two <- timeSeq(from =
"9/17/01", to = "12/31/01", by = "bizdays", holidays = holiday.NYSE(2001)
)
td <- c.time(td.one, td.two)
Paul H. Lasky
P & B
Consultants
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