time      y
1  2016-01-01 00:00:00  -2.907587
2  2016-01-01 01:00:00  -4.378144
3  2016-01-01 02:00:00  -6.178701
4  2016-01-01 03:00:00  -9.959259
5  2016-01-01 04:00:00  -9.359816
6  2016-01-01 05:00:00  -9.750373
7  2016-01-01 06:00:00 -10.910930
8  2016-01-01 07:00:00  -8.611487
9  2016-01-01 08:00:00  -9.042045
10 2016-01-01 09:00:00  -7.002602

 str(df[,1:2])
'data.frame':   17544 obs. of  2 variables:
 $ time : POSIXct, format: "2016-01-01 00:00:00" "2016-01-01 01:00:00"
 "2016-01-01 02:00:00" ...
 $ y: num  -2.91 -4.38 -6.18 -9.96 -9.36 ...

times <- seq(ISOdate(2016, 1, 1, 0, 0, 0), ISOdate(2018, 1, 1, 0, 0, 0), "hour")
y <- rnorm(length(times))

data <- data.frame(date = times, month = factor(months(times)),
                   day = factor(weekdays(times)),
                   hour = factor(format(times, "%H")),
                   y = y)
head(data, 2)
#                  date   month    day hour           y
# 1 2016-01-01 00:00:00 January Friday   00 -0.04493361
# 2 2016-01-01 01:00:00 January Friday   01 -0.01619026

lm(y ~ month + day + hour, data = data)
#
# Call:
# lm(formula = y ~ month + day + hour, data = data)
#
# Coefficients:
#    (Intercept)     monthAugust   monthDecember   monthFebruary    monthJanuary
#       0.040847       -0.005865       -0.027025       -0.016836        0.023103
#      monthJuly       monthJune      monthMarch        monthMay   monthNovember
#      -0.042943        0.026567       -0.014632        0.048680       -0.031783
#   monthOctober  monthSeptember       dayMonday     daySaturday       daySunday
#      -0.035234        0.014624       -0.032229       -0.001063       -0.013470
#    dayThursday      dayTuesday    dayWednesday          hour01          hour02
#      -0.026101        0.013825       -0.045751       -0.045184        0.029389
#         hour03          hour04          hour05          hour06          hour07
#      -0.015768       -0.043531       -0.043825       -0.016781       -0.011752
#         hour08          hour09          hour10          hour11          hour12
#      -0.025495       -0.076518        0.003449        0.026689        0.010491
#         hour13          hour14          hour15          hour16          hour17
#       0.024666       -0.079720        0.035006        0.077219       -0.022182
#         hour18          hour19          hour20          hour21          hour22
#      -0.008761       -0.017968       -0.115603        0.041685        0.052371
#         hour23
#      -0.073574