gistfile1.txt

library(data.table)

myDt <- cbind(
               "Dt1" = as.numeric(ifelse( dt.myVariables[,c("Date"), with=FALSE] > "2008-12-18" &
                                  dt.myVariables[,c("Date"), with=FALSE] < "2010-12-07", 1 , 0)),
               "Dt2" =as.numeric(ifelse( dt.myVariables[,c("Date"), with=FALSE] > "2010-12-07", 1 , 0))
              )

#Ijt - the indicator dummy which is only 1 on the break date

myIndicationD <- cbind( "IndiD1" = as.numeric(dt.myVariables[, c("Date"), with = FALSE] == "2008-12-19"),
                        "IndiD2" =  as.numeric(dt.myVariables[, c("Date"), with = FALSE] == "2010-12-08"))
#Create trend variable
myTrend <-as.matrix(cbind( "Trend" = as.numeric(1:dt.myVariables[,.N])))


lagmatrix <- function(x,max.lag){
  x <- as.matrix(x)
  if(is.null(colnames(x))== TRUE){
    colnames(x) <- "VarCol0"
  }
  return.matrix <-  embed(c(rep(NA,max.lag),x),max.lag+1)
  dimnames(return.matrix)[[2]] <- c(colnames(x)[1, drop = FALSE], paste(colnames(x)[1,drop = FALSE],".l",1:max.lag, sep = ""))
 return(return.matrix)
  }

myDtTrend <- myDt * as.vector(myTrend)
colnames(myDtTrend) <- paste(colnames(myDt),colnames(myTrend), sep = "*")


dummat <- cbind(myTrend
                ,lagmatrix(myDt[,c("Dt1"), drop = FALSE], max.lag = mylags)#[,1, drop = FALSE]
                ,lagmatrix(myDt[,c("Dt2"), drop = FALSE], max.lag = mylags)#[,1, drop = FALSE]
                ,myDtTrend
                ,lagmatrix(myIndicationD[,c("IndiD1"), drop = FALSE], max.lag = mylags)
                ,lagmatrix(myIndicationD[,c("IndiD2"), drop = FALSE], max.lag = mylags)
                )
                
#Replace NA with 0
dummat[is.na(dummat)] <- 0
head(dummat)
     Trend Dt1 Dt1.l1 Dt1.l2 Dt1.l3 Dt1.l4 Dt1.l5 Dt2 Dt2.l1 Dt2.l2 Dt2.l3 Dt2.l4 Dt2.l5 Dt1*Trend Dt2*Trend IndiD1 IndiD1.l1 IndiD1.l2
[1,]     1   0      0      0      0      0      0   0      0      0      0      0      0         0         0      0         0         0
[2,]     2   0      0      0      0      0      0   0      0      0      0      0      0         0         0      0         0         0
[3,]     3   0      0      0      0      0      0   0      0      0      0      0      0         0         0      0         0         0
[4,]     4   0      0      0      0      0      0   0      0      0      0      0      0         0         0      0         0         0
[5,]     5   0      0      0      0      0      0   0      0      0      0      0      0         0         0      0         0         0
[6,]     6   0      0      0      0      0      0   0      0      0      0      0      0         0         0      0         0         0
     IndiD1.l3 IndiD1.l4 IndiD1.l5 IndiD2 IndiD2.l1 IndiD2.l2 IndiD2.l3 IndiD2.l4 IndiD2.l5
[1,]         0         0         0      0         0         0         0         0         0
[2,]         0         0         0      0         0         0         0         0         0
[3,]         0         0         0      0         0         0         0         0         0
[4,]         0         0         0      0         0         0         0         0         0
[5,]         0         0         0      0         0         0         0         0         0
[6,]         0         0         0      0         0         0         0         0         0