Updated dseries section in reference manual.
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@ -25,11 +25,12 @@ Dates
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Dates in a mod file
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-------------------
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Dynare understands dates in a mod file. Users can declare annual,
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Dynare understands dates in a mod file. Users can declare annual, bi-annual,
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quarterly, or monthly dates using the following syntax::
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1990Y
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1990Q3
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1990S2
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1990Q4
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1990M11
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Behind the scene, Dynare’s preprocessor translates these expressions
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@ -164,20 +165,14 @@ The dates class
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.. class:: dates
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:arg freq: equal to 1, 4, 12 or 365 (resp. for annual, quarterly,
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:arg freq: equal to 1, 2, 4, 12 or 365 (resp. for annual, bi-annual, quarterly,
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monthly, or daily dates).
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:arg time: a ``n*2`` array of integers. If `freq` is equal to 1,
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4, or 12, the years are stored in the first column, the
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subperiods (1 for annual dates, 1-4 for quarterly
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dates, and 1-12 for monthly dates) are stored in the
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second column. If `freq` is equal to 365, the first
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column stores the number of days since the first day of
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year 0, the second column is not used.
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:arg time: a ``n*1`` array of integers, the number of periods since year 0 ().
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Each member is private, one can display the content of a member
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but cannot change its value directly. Note that it is not possible
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to mix frequencies in a ``dates`` object: all the elements must
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have common frequency.
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but cannot change its value directly. Note also that it is not
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possible to mix frequencies in a ``dates`` object: all the
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elements must have common frequency.
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The ``dates`` class has the following constructors:
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@ -187,12 +182,13 @@ The dates class
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|br| Returns an empty ``dates`` object with a given frequency
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(if the constructor is called with one input
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argument). ``FREQ`` is a character equal to ’Y’ or ’A’ for
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annual dates, ’Q’ for quarterly dates, ’M’ for monthly dates,
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or ’D’ for daily dates. Note that ``FREQ`` is not case
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sensitive, so that, for instance, ’q’ is also allowed for
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quarterly dates. The frequency can also be set with an integer
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scalar equal to 1 (annual), 4 (quarterly), 12
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(monthly), or 365 (daily). The instantiation of empty objects can be used to
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annual dates, ’S’ or ’H’ for bi-annual dates, ’Q’ for
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quarterly dates, ’M’ for monthly dates, or ’D’ for daily
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dates. Note that ``FREQ`` is not case sensitive, so that, for
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instance, ’q’ is also allowed for quarterly dates. The
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frequency can also be set with an integer scalar equal to 1
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(annual), 2 (bi-annual), 4 (quarterly), 12 (monthly), or 365
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(daily). The instantiation of empty objects can be used to
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rename the ``dates`` class. For instance, if one only works
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with quarterly dates, object ``qq`` can be created as::
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@ -219,12 +215,17 @@ The dates class
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|br| Returns a ``dates`` object that represents a date as
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given by the string ``STRING``. This string has to be
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interpretable as a date (only strings of the following forms
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are admitted: ``'1990Y'``, ``'1990A'``, ``'1990Q1'``,
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``'1990M2'``, or ``'2020-12-31'``), the routine ``isdate`` can
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be used to test if a string is interpretable as a date. If
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more than one argument is provided, they should all be dates
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represented as strings, the resulting ``dates`` object
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contains as many elements as arguments to the constructor.
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are admitted: ``'1990Y'``, ``'1990A'``, ``1990S1``,
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``1990H1``, ``'1990Q1'``, ``'1990M2'``, or ``'2020-12-31'``),
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the routine ``isdate`` can be used to test if a string is
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interpretable as a date. If more than one argument is
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provided, they should all be dates represented as strings, the
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resulting ``dates`` object contains as many elements as
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arguments to the constructor. For the daily dates, the string
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must be of the form yyyy-mm-dd with two digits for the
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months (mm) and days (dd), even if the number of days or
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months is smaller than ten (in this case a leading 0 is
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required).
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.. construct:: dates(DATES)
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@ -240,14 +241,14 @@ The dates class
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.. construct:: dates (FREQ, YEAR, SUBPERIOD[, S])
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|br| where ``FREQ`` is a single character (’Y’, ’A’, ’Q’, ’M’,
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’D’) or integer (1, 4, 12, or 365) specifying the frequency,
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``YEAR`` and ``SUBPERIOD`` and ``S`` are ``n*1`` vectors of
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integers. Returns a ``dates`` object with ``n`` elements. The
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last argument, ``S``, is only to be used for daily
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frequency. If ``FREQ`` is equal to ``'Y'``, ``'A'`` or ``1``,
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the third argument is not needed (because ``SUBPERIOD`` is
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necessarily a vector of ones in this case).
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|br| where ``FREQ`` is a single character (’Y’, ’A’, ’S’, ’H’,
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’Q’, ’M’, ’D’) or integer (1, 2, 4, 12, or 365) specifying the
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frequency, ``YEAR`` and ``SUBPERIOD`` and ``S`` are ``n*1``
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vectors of integers. Returns a ``dates`` object with ``n``
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elements. The last argument, ``S``, is only to be used for
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daily frequency. If ``FREQ`` is equal to ``'Y'``, ``'A'`` or
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``1``, the third argument is not needed (because ``SUBPERIOD``
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is necessarily a vector of ones in this case).
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*Example*
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@ -3142,3 +3143,115 @@ X-13 ARIMA-SEATS interface
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>> o.forecast('maxlead',18,'probability',0.95,'save','(fct fvr)');
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>> o.run();
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Miscellaneous
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=============
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Time aggregation
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----------------
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|br| A set of functions allows to convert time series to lower frequencies:
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- ``dseries2M`` converts daily time series object to monthly
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time series object.
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- ``dseries2Q`` converts daily or monthly time series object
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to quarterly time series object.
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- ``dseries2S`` converts daily, monthly, or quarterly time
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series object to bi-annual time series object.
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- ``dseries2Y`` converts daily, monthly, quarterly, or
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bi-annual time series object to annual time series object.
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|br| All these routines have two mandatory input arguments: the first one is a
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``dseries`` object, the second one the name (row char array) of the
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aggregation method. Possible values for the second argument are:
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- ``arithmetic-average`` (for growth rates),
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- ``geometric-average`` (for growth factors),
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- ``sum`` (for flow variables), and
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- ``end-of-period`` (for stock variables).
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*Example*
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::
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>> ts = dseries(rand(12,1),'2000M1')
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ts is a dseries object:
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| Variable_1
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2000M1 | 0.55293
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2000M2 | 0.14228
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2000M3 | 0.38036
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2000M4 | 0.39657
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2000M5 | 0.57674
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2000M6 | 0.019402
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2000M7 | 0.57758
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2000M8 | 0.9322
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2000M9 | 0.10687
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2000M10 | 0.73215
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2000M11 | 0.97052
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2000M12 | 0.60889
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>> ds = dseries2Y(ts, 'end-of-period')
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ds is a dseries object:
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| Variable_1
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2000Y | 0.60889
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Create time series with a univariate model
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------------------------------------------
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|br| It is possible to expand a ``dseries`` object recursively
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with the ``from`` command. For instance to create a ``dseries`` object
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containing the simulation of an ARMA(1,1) model:
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::
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>> e = dseries(randn(100, 1), '2000Q1', 'e', '\varepsilon');
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>> y = dseries(zeros(100, 1), '2000Q1', 'y');
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>> from 2000Q2 to 2024Q4 do y(t)=.9*y(t-1)+e(t)-.4*e(t-1);
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>> y
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y is a dseries object:
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| y
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2000Q1 | 0
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2000Q2 | -0.95221
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2000Q3 | -0.6294
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2000Q4 | -1.8935
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2001Q1 | -1.1536
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2001Q2 | -1.5905
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2001Q3 | 0.97056
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2001Q4 | 1.1409
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2002Q1 | -1.9255
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2002Q2 | -0.29287
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2022Q2 | -1.4683
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2022Q3 | -1.3758
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2022Q4 | -1.2218
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2023Q1 | -0.98145
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2023Q2 | -0.96542
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2023Q3 | -0.23203
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2023Q4 | -0.34404
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2024Q1 | 1.4606
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2024Q2 | 0.901
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2024Q3 | 2.4906
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2024Q4 | 0.79661
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The expression following the ``do`` keyword can be any univariate
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equation, the only constraint is that the model cannot have
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leads. It can be a static equation, or a very nonlinear backward
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equation with an arbitrary number of lags. The ``from`` command
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must be followed by a range, which is separated from the
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(recursive) expression to be evaluated by the ``do`` command.
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