Splice a collection of index series computed over a rolling window into one index series. Splicing on multiple points combines the results with a geometric mean.
Arguments
- x
A list of equal-length numeric vectors giving the period-over-period indexes for each window.
- periods
An integer vector giving the splice points for each window. The default splices on each point in the window.
- initial
A numeric vector giving an initial period-over-period index series onto which the elements of
xare spliced. The default uses the first element ofx.- published
Should the splice be done against the published series? The default splices using the recalculated index series.
References
Chessa, A. G. (2019). A Comparison of Index Extension Methods for Multilateral Methods. Paper presented at the 16th Meeting of the Ottawa Group on Price Indices, 8-10 May 2019, Rio de Janeiro, Brazil.
Krsinich, F. (2016). The FEWS index: Fixed effects with a window splice. Journal of Official Statistics, 32(2), 375-404.
See also
Other price index functions:
geks(),
index_weights(),
price_indexes
Examples
# Make an index series over a rolling window
x <- list(c(1.1, 0.9, 1.2), c(0.8, 1.3, 1.4), c(1.3, 1.3, 0.8))
# Mean splice
splice_index(x)
#> [1] 1.100000 0.990000 1.188000 1.686819 1.284405
# Movement splice
splice_index(x, 3)
#> [1] 1.10000 0.99000 1.18800 1.66320 1.33056
# Window splice
splice_index(x, 1)
#> [1] 1.10000 0.99000 1.18800 1.60160 1.18976
# Splicing on the published series preserves the within-window
# movement of the index series
splice_index(x, 1, published = TRUE)
#> [1] 1.10000 0.99000 1.18800 1.60160 1.33848