doc: changes to dseries portion of slides following Stéphane’s slides
Houtan Bastani
parent
381b0426e3
commit
547fc8df49
|
|
@ -559,170 +559,71 @@ the time range of \verb+vs+ will be the union of \verb+ts.dates+ and
|
|||
\end{frame}
|
||||
|
||||
|
||||
|
||||
|
||||
|
||||
\begin{frame}[fragile,t]
|
||||
\frametitle{Referencing data from a \texttt{dseries}}
|
||||
\frametitle{Arithmetic Operations on \texttt{dseries}}
|
||||
\begin{itemize}
|
||||
\myitem For the following, let
|
||||
\myitem The binary operators \texttt{+}, \texttt{-}, \texttt{*},
|
||||
\texttt{/}, and \texttt{\string^} perform element-wise arithmetic operations on
|
||||
\texttt{dseries}
|
||||
\myitem They can be used with two \texttt{dseries} or one \texttt{dseries}
|
||||
and a real number
|
||||
\myitem Two \texttt{dseries} can have different date ranges. Non overlapping dates will be filled with \texttt{NaNs}
|
||||
\myitem Take addition for example
|
||||
\begin{itemize}
|
||||
\myitem \texttt{ts1=dseries([1;2;3], `1999y', \{`MyVar1'\}, \{`MyVar\_1'\})}
|
||||
\myitem \texttt{ts2=dseries([4;5;6], `2000y', \{`MyVar2'\}, \{`MyVar\_2'\})}
|
||||
\myitem \texttt{ts3=[ts1 ts2]}
|
||||
\end{itemize}
|
||||
\myitem To get \texttt{MyVar1} from \texttt{t3}, you have three options
|
||||
\begin{itemize}
|
||||
\myitem \texttt{ts3\{1\}}
|
||||
\myitem \texttt{ts3.MyVar1}
|
||||
\myitem \texttt{ts3\{`MyVar1'\}}
|
||||
\end{itemize}
|
||||
\myitem To select a subsample of MyVar2 from 2001 to 2002:
|
||||
\begin{itemize}
|
||||
\myitem \texttt{ts3\{2\}(dates(`2001y'):dates(`2002y'))}
|
||||
\myitem \texttt{ts3.MyVar2(dates(`2001y'):dates(`2002y'))}
|
||||
\myitem \texttt{ts3\{`MyVar2'\}(dates(`2001y'):dates(`2002y'))}
|
||||
\end{itemize}
|
||||
\myitem To see the data for both variables in 2000:
|
||||
\begin{itemize}
|
||||
\myitem \texttt{ts3(`2000y')}
|
||||
\myitem \texttt{ts3\{[1 2]\}(`2000y')}
|
||||
\myitem \texttt{ts3\{`MyVar1',`MyVar2'\}(`2000y')}
|
||||
\myitem \texttt{ts3\{`MyVar@1,2@'\}(`2000y')}
|
||||
\myitem \texttt{ts3\{`MyVar[1-2]'\}(`2000y')}
|
||||
\end{itemize}
|
||||
\end{itemize}
|
||||
\end{frame}
|
||||
|
||||
|
||||
\begin{frame}[fragile,t]
|
||||
\frametitle{Getting info about \texttt{dseries}}
|
||||
\begin{itemize}
|
||||
\myitem \texttt{eq, ne}: returns boolean value of element-wise comparison; series must have same start dates and number of observations
|
||||
\begin{itemize}
|
||||
\myitem \texttt{ts1==ts3.MyVar1(dates(`1999y'):dates(`2001y')) \% [1 1 1]'}
|
||||
\myitem \texttt{ts1$\thicksim$=ts1 \% [0 0 0]'}
|
||||
\end{itemize}
|
||||
\myitem \texttt{isempty}: returns true if series is empty
|
||||
\begin{itemize}
|
||||
\myitem \texttt{isempty(dseries()) \% 1}
|
||||
\end{itemize}
|
||||
\myitem \texttt{isequal}: returns true if the series are equal
|
||||
\begin{itemize}
|
||||
\myitem \texttt{isequal(ts1,ts1) \% 1}
|
||||
\end{itemize}
|
||||
\myitem \texttt{size}: returns number of observations by number of variables
|
||||
\begin{itemize}
|
||||
\myitem \texttt{ts3.size() \% [4 2]}
|
||||
\end{itemize}
|
||||
\end{itemize}
|
||||
\end{frame}
|
||||
|
||||
|
||||
\begin{frame}[fragile,t]
|
||||
\frametitle{Working with \texttt{dseries}}
|
||||
\begin{itemize}
|
||||
\myitem \texttt{baxter\_king\_filter}: the Baxter and King (1999) band pass filter
|
||||
\begin{itemize}
|
||||
\myitem \texttt{ts1.baxter\_king\_filter(high freq, low freq, K)}
|
||||
\end{itemize}
|
||||
\myitem \texttt{hpcycle}: HP Filters the \texttt{dseries}, returning the business cycle component
|
||||
\begin{itemize}
|
||||
\myitem \texttt{ts1.hptrend(lambda) \% lambda = 1600 by default}
|
||||
\end{itemize}
|
||||
\myitem \texttt{hptrend}: HP Filters the \texttt{dseries}, returning the trend component
|
||||
\begin{itemize}
|
||||
\myitem \texttt{ts1.hptrend(lambda) \% lambda = 1600 by default}
|
||||
\end{itemize}
|
||||
\myitem \texttt{qdiff}: Quarterly difference; works on quarterly, monthly, and weekly series
|
||||
\begin{itemize}
|
||||
\myitem \texttt{ts1.qdiff()}
|
||||
\end{itemize}
|
||||
\myitem \texttt{qgrowth}: Quarterly growth rate: $\frac{ts_t-ts_{t-1}}{ts_{t-1}}$. Works on quarterly, monthly, and weekly series
|
||||
\begin{itemize}
|
||||
\myitem \texttt{ts1.qgrowth()}
|
||||
\end{itemize}
|
||||
\myitem \texttt{yidff}: Yearly difference; works on yearly, quarterly, monthly, and weekly series
|
||||
\begin{itemize}
|
||||
\myitem \texttt{ts1.ydiff()}
|
||||
\end{itemize}
|
||||
\myitem \texttt{ygrowth}: Annual growth rate: $\frac{ts_t-ts_{t-1}}{ts_{t-1}}$. Works on yearly ($t-1$), quarterly ($t-4$), monthly ($t-12$), and weekly ($t-52$) series
|
||||
\begin{itemize}
|
||||
\myitem \texttt{ts1.ygrowth()}
|
||||
\end{itemize}
|
||||
\end{itemize}
|
||||
\end{frame}
|
||||
|
||||
|
||||
\begin{frame}[fragile,t]
|
||||
\frametitle{Operations on \texttt{dseries}}
|
||||
\begin{itemize}
|
||||
\myitem \texttt{abs}: The absolute value of each data point
|
||||
\myitem \texttt{cumprod}/\texttt{cumsum}: Cumulative product/sum
|
||||
\myitem \texttt{exp}/\texttt{log}: The exponential/log for each data point
|
||||
\myitem \texttt{mrdivide}/\texttt{mtimes}: Division/Multiplication
|
||||
\myitem \texttt{minus}/\texttt{plus}: Subtraction/Addition
|
||||
\myitem \texttt{mpower}: Power
|
||||
\begin{itemize}
|
||||
\myitem \texttt{ts1-ts2}
|
||||
\myitem \texttt{ts1-3}
|
||||
\myitem \texttt{ts1-[1:3]'}
|
||||
\end{itemize}
|
||||
\myitem \texttt{lag}/\texttt{lead}: lag/lead the series
|
||||
\begin{itemize}
|
||||
\myitem \texttt{ts1(-1)}/\texttt{ts1(2)}
|
||||
\myitem \texttt{ts1.lag()}/\texttt{ts1.lead(2)}
|
||||
\end{itemize}
|
||||
\myitem \texttt{uminus}: Equivalent to multiplying by $-1$.
|
||||
\begin{itemize}
|
||||
\myitem \texttt{-ts1}
|
||||
\end{itemize}
|
||||
\end{itemize}
|
||||
\end{frame}
|
||||
|
||||
|
||||
\begin{frame}[fragile,t]
|
||||
\frametitle{Modifying \texttt{dates}}
|
||||
\begin{itemize}
|
||||
\myitem \texttt{align}: Makes both series cover the same time range by padding with \texttt{NaN}'s
|
||||
\begin{itemize}
|
||||
\myitem \texttt{[ts1,ts2]=align(ts1,ts2)}
|
||||
\end{itemize}
|
||||
\myitem \texttt{chain}:
|
||||
\myitem \texttt{horzcat}: Join two or more \texttt{dseries}
|
||||
\begin{itemize}
|
||||
\myitem \texttt{ts3=[ts1 ts2]}
|
||||
\end{itemize}
|
||||
\myitem \texttt{insert}: Inserts variables from one \texttt{dseries} into another
|
||||
\begin{itemize}
|
||||
\myitem \texttt{ts1.insert(ts2, 2)}
|
||||
\end{itemize}
|
||||
\myitem \texttt{merge}: Merge two series
|
||||
\myitem \texttt{pop}: remove the last variable from \texttt{dseries}
|
||||
\myitem \texttt{plot}: plot a \texttt{dseries}
|
||||
\myitem \texttt{rename}: Rename a variable in a dseries
|
||||
\begin{itemize}
|
||||
\myitem \texttt{ts1.rename(`MyVar1',`MyFirstVar')}
|
||||
\end{itemize}
|
||||
\myitem \texttt{save}: Save a \texttt{dseries} in either \texttt{.csv} (default), \texttt{.m}, or \texttt{.mat}
|
||||
\myitem \texttt{set\_names}: Rename all variables in a \texttt{dseries}
|
||||
\begin{itemize}
|
||||
\myitem \texttt{ts3.set\_names(`NewName1',`NewName2')}
|
||||
\end{itemize}
|
||||
\myitem \texttt{tex\_rename}: Rename the \LaTeX\ name for a given variable
|
||||
\begin{itemize}
|
||||
\myitem \texttt{ts1.tex\_rename(`MyVar1',`MyVar\textbackslash\_1')}
|
||||
\end{itemize}
|
||||
\myitem \texttt{vertcat}: Add more observations to existing \texttt{dseries}
|
||||
\begin{itemize}
|
||||
\myitem \texttt{[ts1; dseries(4,`2002y',`MyVar1')]}
|
||||
\myitem Let
|
||||
\begin{alltt}
|
||||
>> ts0 = dseries(ones(2,2)*2, `2000W1', \{`MyVar1', `MyVar2'\});
|
||||
>> ts1 = dseries(ones(3,2)*3, `2000W2', \{`YrVar1', `YrVar2'\});
|
||||
>> ds = ts0.MyVar1;
|
||||
\end{alltt}
|
||||
\myitem \texttt{ts0+3} will add \texttt{3} to every element in \texttt{ts0}
|
||||
\myitem \texttt{ts0+[3 4]} will add \texttt{3} to every element in \texttt{ts0.MyVar1} and \texttt{4} to every element in \texttt{ts0.MyVar2}
|
||||
\myitem \texttt{ts0+ts1} will add \texttt{ts0.MyVar1} to \texttt{ts1.YrVar1} and \texttt{ts0.MyVar2} to \texttt{ts1.YrVar2}. Only \texttt{2000W2} will contain the value \texttt{5} for both variables. All other points will contain \texttt{NaN}
|
||||
\myitem \texttt{ts0+ds} will add \texttt{ds} to \texttt{ts0.MyVar1} and \texttt{ts0.MyVar2}. All values will contain \texttt{4}
|
||||
\end{itemize}
|
||||
\end{itemize}
|
||||
\end{frame}
|
||||
|
||||
|
||||
|
||||
\subsection{Examples}
|
||||
\begin{frame}[fragile,t]
|
||||
\frametitle{Leads and Lags with \texttt{dseries} (1/2)}
|
||||
\begin{itemize}
|
||||
\myitem Let
|
||||
\begin{alltt}
|
||||
>> ts = dseries([1:4]');
|
||||
\end{alltt}
|
||||
\myitem Then
|
||||
\begin{alltt}
|
||||
>> ts.lead() >> ts.lag()
|
||||
|
||||
ans is a dseries object: ans is a dseries object:
|
||||
|
||||
| lead(Variable_1,1) | lag(Variable_1,1)
|
||||
1Y | 2 1Y | NaN
|
||||
2Y | 3 2Y | 1
|
||||
3Y | 4 3Y | 2
|
||||
4Y | NaN 4Y | 3
|
||||
\end{alltt}
|
||||
\end{itemize}
|
||||
\end{frame}
|
||||
|
||||
|
||||
\begin{frame}[fragile,t]
|
||||
\frametitle{Leads and Lags with \texttt{dseries} (2/2)}
|
||||
\begin{itemize}
|
||||
\myitem You can lead/lag a \texttt{dseries} by more than one period
|
||||
\begin{itemize}
|
||||
\myitem \texttt{ts.lead(k)} where $k\in\mathbb{Z}$
|
||||
\myitem \texttt{ts.lag(k)} where $k\in\mathbb{Z}$
|
||||
\end{itemize}
|
||||
\myitem A shorthand syntax is available as well
|
||||
\begin{itemize}
|
||||
\myitem Lead: \texttt{ts(k)} where $k\in\mathbb{Z}$
|
||||
\myitem Lag: \texttt{ts(-k)} where $k\in\mathbb{Z}$
|
||||
\end{itemize}
|
||||
\end{itemize}
|
||||
\end{frame}
|
||||
|
||||
|
||||
|
||||
|
|
|
|||
Loading…
Reference in New Issue