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Added lead/lag incidence table. Also check that the ranges of the 

dseries objects appearing in the recursive expression are compatible
with the range of the loop.
time-shift
Stéphane Adjemian (Scylla) 2014-05-02 17:52:54 +02:00 committed by Stéphane Adjemian (Charybdis)
parent 59a787f47f
commit 507b56a055
1 changed files with 71 additions and 15 deletions
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86
matlab/utilities/dseries/from.m
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@ -62,35 +62,91 @@ end
EXPRESSION = char([varargin{5:end}]);
% Get all the variables involved in the recursive expression.
variables = regexpi(EXPRESSION, '\w*\(t\)|\w*\(t\-\d\)|\w*\(t\+\d\)','match');
variables = unique(regexpi(EXPRESSION, '\w*\(t\)|\w*\(t\-\d\)|\w*\(t\+\d\)','match'));
% Remove the time indices.
% Build an incidence table (max lag/lead for each variable)
%
% Column 1: Name of the variable.
% Column 2: Maximum lag order.
% Column 3: Equal to 1 if the variable appears at the current period, 0 otherwise.
% Column 4: Maximum lead order.
leadlagtable = cell(0,4);
for i=1:length(variables)
current = ~isempty(regexpi(variables{i},'\(t\)'));
lag = ~isempty(regexpi(variables{i},'\(t\-\d\)'));
lead = ~isempty(regexpi(variables{i},'\(t\+\d\)'));
start = regexpi(variables{i},'\(t\)|\(t\-\d\)|\(t\+\d\)');
index = variables{i}(start:end);
variables(i) = {variables{i}(1:start-1)};
if isempty(leadlagtable)
leadlagtable(1,1) = {variables{i}};
if current
leadlagtable(1,3) = {1};
else
leadlagtable(1,3) = {0};
end
if lag
tmp = regexpi(index,'\d','match');
leadlagtable(1,2) = {str2num(tmp{1})};
else
leadlagtable(1,2) = {0};
end
if lead
tmp = regexpi(index,'\d','match');
leadlagtable(1,4) = {str2num(tmp{1})};
else
leadlagtable(1,4) = {0};
end
else
linea = strmatch(variables{i},leadlagtable(:,1));
if isempty(linea)
linea = size(leadlagtable,1)+1;
leadlagtable(linea,1) = {variables{i}};
leadlagtable(linea,2) = {0};
leadlagtable(linea,3) = {0};
leadlagtable(linea,4) = {0};
end
if current
leadlagtable(linea,3) = {1};
end
if lag
tmp = regexpi(index,'\d','match');
leadlagtable(linea,2) = {max(str2num(tmp{1}),leadlagtable{linea,2})};
end
if lead
tmp = regexpi(index,'\d','match');
leadlagtable(linea,4) = {max(str2num(tmp{1}),leadlagtable{linea,4})};
end
end
end
% Remove duplicates.
variables = unique(variables);
% Set the number of variables
number_of_variables = size(leadlagtable,1);
% Test that all the involved variables are available dseries objects. Also check
% that these time series are defined over the time range given by d1 and d2.
for i=1:length(variables)
% Test that all the involved variables are available dseries objects. Also check that
% these time series are defined over the time range given by d1 and d2 (taking care of
% the lags and leads).
for i=1:number_of_variables
current_variable = leadlagtable{i,1};
try
var = evalin('caller',variables{i});
var = evalin('caller',current_variable);
catch
error(['dseries::from: Variable ' variables{i} ' is unknown!'])
error(['dseries::from: Variable ' current_variable ' is unknown!'])
end
if ~isdseries(var)
error(['dseries::from: Variable ' variables{i} ' is not a dseries object!'])
error(['dseries::from: Variable ' current_variable ' is not a dseries object!'])
else
if d1<var.dates(1)
error(sprintf('dseries::from: First date in variable %s is posterior to %s!\n Check the initial date of the loop.', variables{i}, char(d1)))
if d1<var.dates(1)+leadlagtable{i,2}
msg = sprintf('dseries::from: Initial date of the loop (%s) is inconsistent with %s''s range!\n',char(d1),current_variable);
msg = [msg, sprintf(' Initial date should be greater than or equal to %s.',char(var.dates(1)+leadlagtable{i,2}))];
error(msg)
end
if d2>var.dates(end)
error(sprintf('dseries::from: Last date in variable %s is anterior to %s!\n Check the terminal date of the loop.', variables{i}, char(d2)))
if d2>var.dates(end)-leadlagtable{i,4}
msg = sprintf('dseries::from: Last date of the loop (%s) is inconsistent with %s''s range!\n',char(d2),current_variable);
msg = [msg, sprintf(' Last date should be less than or equal to %s.',char(var.dates(end)-leadlagtable{i,4}))];
error(msg)
end
eval(sprintf('%s = var;',variables{i}));
eval(sprintf('%s = var;',current_variable));
end
end