R function to return cyclically-adjusted series using labour & GDP output gaps

cyclical_adjustment.R

labour_output_gap = function()
{
	if ( exists("UNRATE") == FALSE ) { fred("UNRATE", environment()) }
	if ( exists("NROU") == FALSE ) { fred("NROU", environment()) }
	
	a = na.trim(na.locf(merge(UNRATE, NROU)))
	a = a[endpoints(a)]
	
	return(UNRATE - NROU)
}

cyclical_adjust = function(p, endpoints.periodicity="months")
{
	LOG = labour_output_gap()
	fred(c("GDPC96", "GDPPOT"), environment())
	og = GDPPOT/GDPC96
	a = na.omit( na.locf(merge(p, LOG, og)) )
	a = a[endpoints(a), on=endpoints.periodicity]
	m = lm(a[,1] ~ a[,2] + a[,3])
	print(summary(m))
	a$model = predict(m)
	return(a[,1] - a$model)
}