Added methods to compute yearly and quaterly growth rates and differences (dynSeries).
Stéphane Adjemian (Charybdis)
parent
e0018f8bca
commit
9dfe2c908f
|
|
@ -0,0 +1,101 @@
|
|||
function us = qdiff(ts)
|
||||
|
||||
%@info:
|
||||
%! @deftypefn {Function File} {@var{us} =} qdiff (@var{ts})
|
||||
%! @anchor{qdiff}
|
||||
%! @sp 1
|
||||
%! Computes quaterly differences.
|
||||
%! @sp 2
|
||||
%! @strong{Inputs}
|
||||
%! @sp 1
|
||||
%! @table @var
|
||||
%! @item ts
|
||||
%! Dynare time series object, instantiated by @ref{dynSeries}
|
||||
%! @end table
|
||||
%! @sp 2
|
||||
%! @strong{Outputs}
|
||||
%! @sp 1
|
||||
%! @table @var
|
||||
%! @item us
|
||||
%! Dynare time series object with transformed data field.
|
||||
%! @end table
|
||||
%! @end deftypefn
|
||||
%@eod:
|
||||
|
||||
% Copyright (C) 2012 Dynare Team
|
||||
%
|
||||
% This file is part of Dynare.
|
||||
%
|
||||
% Dynare is free software: you can redistribute it and/or modify
|
||||
% it under the terms of the GNU General Public License as published by
|
||||
% the Free Software Foundation, either version 3 of the License, or
|
||||
% (at your option) any later version.
|
||||
%
|
||||
% Dynare is distributed in the hope that it will be useful,
|
||||
% but WITHOUT ANY WARRANTY; without even the implied warranty of
|
||||
% MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. See the
|
||||
% GNU General Public License for more details.
|
||||
%
|
||||
% You should have received a copy of the GNU General Public License
|
||||
% along with Dynare. If not, see <http://www.gnu.org/licenses/>.
|
||||
|
||||
% AUTHOR(S) stephane DOT adjemian AT univ DASH lemans DOT fr
|
||||
|
||||
us = ts;
|
||||
|
||||
switch ts.freq
|
||||
case 1
|
||||
error('dynSeries::qgrowth: I cannot compute quaterly differences from yearly data!')
|
||||
case 4
|
||||
us.data(2:end,:) = ts.data(2:end,:)-ts.data(1:end-1,:);
|
||||
us.data(1,:) = NaN;
|
||||
case 12
|
||||
us.data(4:end,:) = ts.data(4:end,:)-ts.data(1:end-3,:);
|
||||
us.data(1:3,:) = NaN;
|
||||
case 52
|
||||
error('dynSeries::qgrowth: I do not know yet how to compute quaterly differences from weekly data!')
|
||||
otherwise
|
||||
error(['dynSeries::ygrowth: object ' inputname(1) ' has unknown frequency']);
|
||||
end
|
||||
|
||||
%@test:1
|
||||
%$ t = zeros(2,1);
|
||||
%$
|
||||
%$ try
|
||||
%$ data = transpose(0:1:50);
|
||||
%$ ts = dynSeries(data,'1950Q1');
|
||||
%$ ts = ts.qdiff;
|
||||
%$ t(1) = 1;
|
||||
%$ catch
|
||||
%$ t = 0;
|
||||
%$ end
|
||||
%$
|
||||
%$ if length(t)>1
|
||||
%$ DATA = NaN(1,ts.vobs);
|
||||
%$ DATA = [DATA; ones(ts.nobs-1,ts.vobs)];
|
||||
%$ t(2) = dyn_assert(ts.data,DATA,1e-15);
|
||||
%$ end
|
||||
%$
|
||||
%$ T = all(t);
|
||||
%@eof:1
|
||||
|
||||
%@test:2
|
||||
%$ t = zeros(2,1);
|
||||
%$
|
||||
%$ try
|
||||
%$ data = transpose(0:1:80);
|
||||
%$ ts = dynSeries(data,'1950M1');
|
||||
%$ ts = ts.qdiff;
|
||||
%$ t(1) = 1;
|
||||
%$ catch
|
||||
%$ t = 0;
|
||||
%$ end
|
||||
%$
|
||||
%$ if length(t)>1
|
||||
%$ DATA = NaN(3,ts.vobs);
|
||||
%$ DATA = [DATA; 3*ones(ts.nobs-3,ts.vobs)];
|
||||
%$ t(2) = dyn_assert(ts.data,DATA,1e-15);
|
||||
%$ end
|
||||
%$
|
||||
%$ T = all(t);
|
||||
%@eof:2
|
||||
|
|
@ -0,0 +1,101 @@
|
|||
function us = qgrowth(ts)
|
||||
|
||||
%@info:
|
||||
%! @deftypefn {Function File} {@var{us} =} qgrowth (@var{ts})
|
||||
%! @anchor{qgrowth}
|
||||
%! @sp 1
|
||||
%! Computes quaterly growth rates.
|
||||
%! @sp 2
|
||||
%! @strong{Inputs}
|
||||
%! @sp 1
|
||||
%! @table @var
|
||||
%! @item ts
|
||||
%! Dynare time series object, instantiated by @ref{dynSeries}
|
||||
%! @end table
|
||||
%! @sp 2
|
||||
%! @strong{Outputs}
|
||||
%! @sp 1
|
||||
%! @table @var
|
||||
%! @item us
|
||||
%! Dynare time series object with transformed data field.
|
||||
%! @end table
|
||||
%! @end deftypefn
|
||||
%@eod:
|
||||
|
||||
% Copyright (C) 2012 Dynare Team
|
||||
%
|
||||
% This file is part of Dynare.
|
||||
%
|
||||
% Dynare is free software: you can redistribute it and/or modify
|
||||
% it under the terms of the GNU General Public License as published by
|
||||
% the Free Software Foundation, either version 3 of the License, or
|
||||
% (at your option) any later version.
|
||||
%
|
||||
% Dynare is distributed in the hope that it will be useful,
|
||||
% but WITHOUT ANY WARRANTY; without even the implied warranty of
|
||||
% MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. See the
|
||||
% GNU General Public License for more details.
|
||||
%
|
||||
% You should have received a copy of the GNU General Public License
|
||||
% along with Dynare. If not, see <http://www.gnu.org/licenses/>.
|
||||
|
||||
% AUTHOR(S) stephane DOT adjemian AT univ DASH lemans DOT fr
|
||||
|
||||
us = ts;
|
||||
|
||||
switch ts.freq
|
||||
case 1
|
||||
error('dynSeries::qgrowth: I cannot compute quaterly growth rates from yearly data!')
|
||||
case 4
|
||||
us.data(2:end,:) = ts.data(2:end,:)./ts.data(1:end-1,:) - 1;
|
||||
us.data(1,:) = NaN;
|
||||
case 12
|
||||
us.data(4:end,:) = ts.data(4:end,:)./ts.data(1:end-3,:) - 1;
|
||||
us.data(1:3,:) = NaN;
|
||||
case 52
|
||||
error('dynSeries::qgrowth: I do not know yet how to compute quaterly growth rates from weekly data!')
|
||||
otherwise
|
||||
error(['dynSeries::ygrowth: object ' inputname(1) ' has unknown frequency']);
|
||||
end
|
||||
|
||||
%@test:1
|
||||
%$ t = zeros(2,1);
|
||||
%$
|
||||
%$ try
|
||||
%$ data = (1+.01).^transpose(0:1:50);
|
||||
%$ ts = dynSeries(data,'1950Q1');
|
||||
%$ ts = ts.qgrowth;
|
||||
%$ t(1) = 1;
|
||||
%$ catch
|
||||
%$ t = 0;
|
||||
%$ end
|
||||
%$
|
||||
%$ if length(t)>1
|
||||
%$ DATA = NaN(1,ts.vobs);
|
||||
%$ DATA = [DATA; .01*ones(ts.nobs-1,ts.vobs)];
|
||||
%$ t(2) = dyn_assert(ts.data,DATA,1e-15);
|
||||
%$ end
|
||||
%$
|
||||
%$ T = all(t);
|
||||
%@eof:1
|
||||
|
||||
%@test:2
|
||||
%$ t = zeros(2,1);
|
||||
%$
|
||||
%$ try
|
||||
%$ data = (1+.01).^transpose(0:1:80);
|
||||
%$ ts = dynSeries(data,'1950M1');
|
||||
%$ ts = ts.qgrowth;
|
||||
%$ t(1) = 1;
|
||||
%$ catch
|
||||
%$ t = 0;
|
||||
%$ end
|
||||
%$
|
||||
%$ if length(t)>1
|
||||
%$ DATA = NaN(3,ts.vobs);
|
||||
%$ DATA = [DATA; (1.01^3-1)*ones(ts.nobs-3,ts.vobs)];
|
||||
%$ t(2) = dyn_assert(ts.data,DATA,1e-15);
|
||||
%$ end
|
||||
%$
|
||||
%$ T = all(t);
|
||||
%@eof:2
|
||||
|
|
@ -67,7 +67,7 @@ if length(S)==1 && isequal(S.type,'.')
|
|||
switch S.subs
|
||||
case {'data','nobs','vobs','name','tex','freq','time','init'} % Public members.
|
||||
us = builtin('subsref', ts, S);
|
||||
case {'log','exp'} % Give "dot access" to public methods.
|
||||
case {'log','exp','ygrowth','qgrowth','ydiff','qdiff'} % Give "dot access" to public methods.
|
||||
us = feval(S.subs,ts);
|
||||
case {'save'}
|
||||
us = NaN;
|
||||
|
|
|
|||
|
|
@ -0,0 +1,127 @@
|
|||
function us = ydiff(ts)
|
||||
|
||||
%@info:
|
||||
%! @deftypefn {Function File} {@var{us} =} ydiff (@var{ts})
|
||||
%! @anchor{ydiff}
|
||||
%! @sp 1
|
||||
%! Computes annual differences.
|
||||
%! @sp 2
|
||||
%! @strong{Inputs}
|
||||
%! @sp 1
|
||||
%! @table @var
|
||||
%! @item ts
|
||||
%! Dynare time series object, instantiated by @ref{dynSeries}
|
||||
%! @end table
|
||||
%! @sp 2
|
||||
%! @strong{Outputs}
|
||||
%! @sp 1
|
||||
%! @table @var
|
||||
%! @item us
|
||||
%! Dynare time series object with transformed data field.
|
||||
%! @end table
|
||||
%! @end deftypefn
|
||||
%@eod:
|
||||
|
||||
% Copyright (C) 2012 Dynare Team
|
||||
%
|
||||
% This file is part of Dynare.
|
||||
%
|
||||
% Dynare is free software: you can redistribute it and/or modify
|
||||
% it under the terms of the GNU General Public License as published by
|
||||
% the Free Software Foundation, either version 3 of the License, or
|
||||
% (at your option) any later version.
|
||||
%
|
||||
% Dynare is distributed in the hope that it will be useful,
|
||||
% but WITHOUT ANY WARRANTY; without even the implied warranty of
|
||||
% MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. See the
|
||||
% GNU General Public License for more details.
|
||||
%
|
||||
% You should have received a copy of the GNU General Public License
|
||||
% along with Dynare. If not, see <http://www.gnu.org/licenses/>.
|
||||
|
||||
% AUTHOR(S) stephane DOT adjemian AT univ DASH lemans DOT fr
|
||||
|
||||
us = ts;
|
||||
|
||||
switch ts.freq
|
||||
case 1
|
||||
us.data(2:end,:) = ts.data(2:end,:)-ts.data(1:end-1,:);
|
||||
us.data(1,:) = NaN;
|
||||
case 4
|
||||
us.data(5:end,:) = ts.data(5:end,:)-ts.data(1:end-4,:);
|
||||
us.data(1:4,:) = NaN;
|
||||
case 12
|
||||
us.data(13:end,:) = ts.data(13:end,:)-ts.data(1:end-12,:);
|
||||
us.data(1:12,:) = NaN;
|
||||
case 52
|
||||
us.data(53:end,:) = ts.data(53:end,:)-ts.data(1:end-52,:);
|
||||
us.data(1:52,:) = NaN;
|
||||
otherwise
|
||||
error(['dynSeries::ygrowth: object ' inputname(1) ' has unknown frequency']);
|
||||
end
|
||||
|
||||
%@test:1
|
||||
%$ t = zeros(2,1);
|
||||
%$
|
||||
%$ try
|
||||
%$ data = transpose(1:100);
|
||||
%$ ts = dynSeries(data,'1950Q1');
|
||||
%$ ts = ts.ydiff;
|
||||
%$ t(1) = 1;
|
||||
%$ catch
|
||||
%$ t = 0;
|
||||
%$ end
|
||||
%$
|
||||
%$
|
||||
%$ if length(t)>1
|
||||
%$ DATA = NaN(4,ts.vobs);
|
||||
%$ DATA = [DATA; 4*ones(ts.nobs-4,ts.vobs)];
|
||||
%$ t(2) = dyn_assert(ts.data,DATA);
|
||||
%$ end
|
||||
%$
|
||||
%$ T = all(t);
|
||||
%@eof:1
|
||||
|
||||
%@test:2
|
||||
%$ t = zeros(2,1);
|
||||
%$
|
||||
%$ try
|
||||
%$ data = transpose(1:100);
|
||||
%$ ts = dynSeries(data,'1950M1');
|
||||
%$ ts = ts.ydiff;
|
||||
%$ t(1) = 1;
|
||||
%$ catch
|
||||
%$ t = 0;
|
||||
%$ end
|
||||
%$
|
||||
%$
|
||||
%$ if length(t)>1
|
||||
%$ DATA = NaN(12,ts.vobs);
|
||||
%$ DATA = [DATA; 12*ones(ts.nobs-12,ts.vobs)];
|
||||
%$ t(2) = dyn_assert(ts.data,DATA);
|
||||
%$ end
|
||||
%$
|
||||
%$ T = all(t);
|
||||
%@eof:2
|
||||
|
||||
%@test:3
|
||||
%$ t = zeros(2,1);
|
||||
%$
|
||||
%$ try
|
||||
%$ data = transpose(1:100);
|
||||
%$ ts = dynSeries(data,'1950W1');
|
||||
%$ ts = ts.ydiff;
|
||||
%$ t(1) = 1;
|
||||
%$ catch
|
||||
%$ t = 0;
|
||||
%$ end
|
||||
%$
|
||||
%$
|
||||
%$ if length(t)>1
|
||||
%$ DATA = NaN(52,ts.vobs);
|
||||
%$ DATA = [DATA; 52*ones(ts.nobs-52,ts.vobs)];
|
||||
%$ t(2) = dyn_assert(ts.data,DATA);
|
||||
%$ end
|
||||
%$
|
||||
%$ T = all(t);
|
||||
%@eof:3
|
||||
|
|
@ -0,0 +1,127 @@
|
|||
function us = ygrowth(ts)
|
||||
|
||||
%@info:
|
||||
%! @deftypefn {Function File} {@var{us} =} ygrowth (@var{ts})
|
||||
%! @anchor{ygrowth}
|
||||
%! @sp 1
|
||||
%! Computes annual growth rates.
|
||||
%! @sp 2
|
||||
%! @strong{Inputs}
|
||||
%! @sp 1
|
||||
%! @table @var
|
||||
%! @item ts
|
||||
%! Dynare time series object, instantiated by @ref{dynSeries}
|
||||
%! @end table
|
||||
%! @sp 2
|
||||
%! @strong{Outputs}
|
||||
%! @sp 1
|
||||
%! @table @var
|
||||
%! @item us
|
||||
%! Dynare time series object with transformed data field.
|
||||
%! @end table
|
||||
%! @end deftypefn
|
||||
%@eod:
|
||||
|
||||
% Copyright (C) 2012 Dynare Team
|
||||
%
|
||||
% This file is part of Dynare.
|
||||
%
|
||||
% Dynare is free software: you can redistribute it and/or modify
|
||||
% it under the terms of the GNU General Public License as published by
|
||||
% the Free Software Foundation, either version 3 of the License, or
|
||||
% (at your option) any later version.
|
||||
%
|
||||
% Dynare is distributed in the hope that it will be useful,
|
||||
% but WITHOUT ANY WARRANTY; without even the implied warranty of
|
||||
% MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. See the
|
||||
% GNU General Public License for more details.
|
||||
%
|
||||
% You should have received a copy of the GNU General Public License
|
||||
% along with Dynare. If not, see <http://www.gnu.org/licenses/>.
|
||||
|
||||
% AUTHOR(S) stephane DOT adjemian AT univ DASH lemans DOT fr
|
||||
|
||||
us = ts;
|
||||
|
||||
switch ts.freq
|
||||
case 1
|
||||
us.data(2:end,:) = ts.data(2:end,:)./ts.data(1:end-1,:) - 1;
|
||||
us.data(1,:) = NaN;
|
||||
case 4
|
||||
us.data(5:end,:) = ts.data(5:end,:)./ts.data(1:end-4,:) - 1;
|
||||
us.data(1:4,:) = NaN;
|
||||
case 12
|
||||
us.data(13:end,:) = ts.data(13:end,:)./ts.data(1:end-12,:) - 1;
|
||||
us.data(1:12,:) = NaN;
|
||||
case 52
|
||||
us.data(53:end,:) = ts.data(53:end,:)./ts.data(1:end-52,:) - 1;
|
||||
us.data(1:52,:) = NaN;
|
||||
otherwise
|
||||
error(['dynSeries::ygrowth: object ' inputname(1) ' has unknown frequency']);
|
||||
end
|
||||
|
||||
%@test:1
|
||||
%$ t = zeros(2,1);
|
||||
%$
|
||||
%$ try
|
||||
%$ data = repmat(transpose(1:4),100,1);
|
||||
%$ ts = dynSeries(data,'1950Q1');
|
||||
%$ ts = ts.ygrowth;
|
||||
%$ t(1) = 1;
|
||||
%$ catch
|
||||
%$ t = 0;
|
||||
%$ end
|
||||
%$
|
||||
%$
|
||||
%$ if length(t)>1
|
||||
%$ DATA = NaN(4,ts.vobs);
|
||||
%$ DATA = [DATA; zeros(ts.nobs-4,ts.vobs)];
|
||||
%$ t(2) = dyn_assert(ts.data,DATA);
|
||||
%$ end
|
||||
%$
|
||||
%$ T = all(t);
|
||||
%@eof:1
|
||||
|
||||
%@test:2
|
||||
%$ t = zeros(2,1);
|
||||
%$
|
||||
%$ try
|
||||
%$ data = repmat(transpose(1:12),100,1);
|
||||
%$ ts = dynSeries(data,'1950M1');
|
||||
%$ ts = ts.ygrowth;
|
||||
%$ t(1) = 1;
|
||||
%$ catch
|
||||
%$ t = 0;
|
||||
%$ end
|
||||
%$
|
||||
%$
|
||||
%$ if length(t)>1
|
||||
%$ DATA = NaN(12,ts.vobs);
|
||||
%$ DATA = [DATA; zeros(ts.nobs-12,ts.vobs)];
|
||||
%$ t(2) = dyn_assert(ts.data,DATA);
|
||||
%$ end
|
||||
%$
|
||||
%$ T = all(t);
|
||||
%@eof:2
|
||||
|
||||
%@test:3
|
||||
%$ t = zeros(2,1);
|
||||
%$
|
||||
%$ try
|
||||
%$ data = repmat(transpose(1:52),100,1);
|
||||
%$ ts = dynSeries(data,'1950W1');
|
||||
%$ ts = ts.ygrowth;
|
||||
%$ t(1) = 1;
|
||||
%$ catch
|
||||
%$ t = 0;
|
||||
%$ end
|
||||
%$
|
||||
%$
|
||||
%$ if length(t)>1
|
||||
%$ DATA = NaN(52,ts.vobs);
|
||||
%$ DATA = [DATA; zeros(ts.nobs-52,ts.vobs)];
|
||||
%$ t(2) = dyn_assert(ts.data,DATA);
|
||||
%$ end
|
||||
%$
|
||||
%$ T = all(t);
|
||||
%@eof:3
|
||||
Loading…
Reference in New Issue