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doc: finish dseries syntax for slides

time-shift
Houtan Bastani 2014-05-13 18:30:50 +02:00
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doc/dseries-and-reporting/dseriesReporting.tex
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@ -58,8 +58,9 @@
\begin{itemize}
\item Provide support for time series in Dynare
\item Introduced in Dynare 4.4
\item Currently only used for reporting.
\item Currently only used for reporting
\item Use will increase with time (\textit{e.g.,} to be included in new estimation code)
\item NB: More complete information is included in the Dynare manual
\end{itemize}
\end{frame}
@ -101,6 +102,12 @@
\item Empty
\item Noncontiguous
\end{itemize}
\item Can index a \texttt{dates} object. If \texttt{t} is a \texttt{dates} object, then
\begin{itemize}
\item \texttt{t(1) \% refers to the first date}
\item \texttt{t(1:3) \% refers to the first three dates}
\item \texttt{t([1,4,5]) \% refers to the first, fourth, and fifth dates}
\end{itemize}
\end{itemize}
\end{frame}
@ -118,6 +125,7 @@
\item In a \texttt{.m} file: \texttt{dr = dates(`1999y'):dates(`2020y');}
\item In a \texttt{.mod} file: \texttt{dr = 1999y:2020y;}
\end{itemize}
\item In what follows, \texttt{t} and \texttt{dr} are as above. Operations that assign to \texttt{t} and \texttt{dr} keep the value thereafter.
\end{itemize}
\end{frame}
@ -149,13 +157,13 @@
\end{itemize}
\item \texttt{sort}: sort dates in ascending order
\begin{itemize}
\item \texttt{t=t.sort(); \% <dates: 1900Y, 1999Y>}
\item \texttt{t.sort(); \% <dates: 1900Y, 1999Y>}
\end{itemize}
\item \texttt{uminus}: shifts dates back one period
\begin{itemize}
\item \texttt{-t; \% <dates: 1998Y, 1899Y>}
\end{itemize}
\item \texttt{unique}: removes repetitions
\item \texttt{unique}: removes repetitions (keeping last unique value)
\begin{itemize}
\item \texttt{t.append(dates(`1999y')).unique() \% <dates: 1900Y, 1999Y>}
\end{itemize}
@ -217,6 +225,7 @@
\item \texttt{isempty}: returns true if the argument is empty
\begin{itemize}
\item \texttt{isempty(t) \% 0}
\item \texttt{isempty(dates()) \% 1}
\end{itemize}
\item \texttt{setdiff}: returns dates present in first arg but not in second
\begin{itemize}
@ -234,6 +243,198 @@
% DSERIES
%
\subsubsection{\texttt{dseries} Syntax}
\begin{frame}[fragile,t]
\frametitle{\texttt{dseries} Syntax}
\begin{itemize}
\item A \texttt{dseries} is composed of one or more individual series
\item All time series in a dseries must have the same frequency
\item A \texttt{dseries} runs from the earliest date to the latest date, with \texttt{NaN}'s inserted to pad the shorter series
\end{itemize}
\end{frame}
\begin{frame}[fragile,t]
\frametitle{Creating a new \texttt{dseries} object}
\begin{itemize}
\item Load series from data file (\texttt{.csv, .xls}). Dates in first column, optional variable names in first row
\begin{itemize}
\item \texttt{ts=dseries(`data.csv');}
\end{itemize}
\item Load series from a Matlab/Octave file (\texttt{.m, .mat}). Must define the variables \texttt{INIT\_\_}, \texttt{NAMES\_\_}, and, optionally, \texttt{TEX\_\_}.
\begin{itemize}
\item \texttt{ts=dseries(`data.m');}
\end{itemize}
\item Load data directly. Here: one variable, `MyVar1', with three annual observations starting in 1999. Only first argument is required.
\begin{itemize}
\item \texttt{ts=dseries([1;2;3], `1999y', \{`MyVar1'\}, \{`MyVar\_1'\});}
\end{itemize}
\item Create an empty time series. Usefull for programatically creating a series.
\begin{itemize}
\item \texttt{ts=dseries();}
\item \texttt{ts=dseries(dates(`1999y'));}
\end{itemize}
\end{itemize}
\end{frame}
\begin{frame}[fragile,t]
\frametitle{Referencing data from a \texttt{dseries}}
\begin{itemize}
\item For the following, let
\begin{itemize}
\item \texttt{ts1=dseries([1;2;3], `1999y', \{`MyVar1'\}, \{`MyVar\_1'\})}
\item \texttt{ts2=dseries([4;5;6], `2000y', \{`MyVar2'\}, \{`MyVar\_2'\})}
\item \texttt{ts3=[ts1 ts2]}
\end{itemize}
\item To get \texttt{MyVar1} from \texttt{t3}, you have three options
\begin{itemize}
\item \texttt{ts3\{1\}}
\item \texttt{ts3.MyVar1}
\item \texttt{ts3\{`MyVar1'\}}
\end{itemize}
\item To select a subsample of MyVar2 from 2001 to 2002:
\begin{itemize}
\item \texttt{ts3\{2\}(dates(`2001y'):dates(`2002y'))}
\item \texttt{ts3.MyVar2(dates(`2001y'):dates(`2002y'))}
\item \texttt{ts3\{`MyVar2'\}(dates(`2001y'):dates(`2002y'))}
\end{itemize}
\item To see the data for both variables in 2000:
\begin{itemize}
\item \texttt{ts3(`2000y')}
\item \texttt{ts3\{[1 2]\}(`2000y')}
\item \texttt{ts3\{`MyVar1',`MyVar2'\}(`2000y')}
\item \texttt{ts3\{`MyVar@1,2@'\}(`2000y')}
\item \texttt{ts3\{`MyVar[1-2]'\}(`2000y')}
\end{itemize}
\end{itemize}
\end{frame}
\begin{frame}[fragile,t]
\frametitle{Getting info about \texttt{dseries}}
\begin{itemize}
\item \texttt{eq, ne}: returns boolean value of element-wise comparison; series must have same start dates and number of observations
\begin{itemize}
\item \texttt{ts1==ts3.MyVar1(dates(`1999y'):dates(`2001y')) \% [1 1 1]'}
\item \texttt{ts1$\thicksim$=ts1 \% [0 0 0]'}
\end{itemize}
\item \texttt{isempty}: returns true if series is empty
\begin{itemize}
\item \texttt{isempty(dseries()) \% 1}
\end{itemize}
\item \texttt{isequal}: returns true if the series are equal
\begin{itemize}
\item \texttt{isequal(ts1,ts1) \% 1}
\end{itemize}
\item \texttt{size}: returns number of observations by number of variables
\begin{itemize}
\item \texttt{ts3.size() \% [4 2]}
\end{itemize}
\end{itemize}
\end{frame}
\begin{frame}[fragile,t]
\frametitle{Working with \texttt{dseries}}
\begin{itemize}
\item \texttt{baxter\_king\_filter}: the Baxter and King (1999) band pass filter
\begin{itemize}
\item \texttt{ts1.baxter\_king\_filter(high freq, low freq, K)}
\end{itemize}
\item \texttt{hpcycle}: HP Filters the \texttt{dseries}, returning the business cycle component
\begin{itemize}
\item \texttt{ts1.hptrend(lambda) \% lambda = 1600 by default}
\end{itemize}
\item \texttt{hptrend}: HP Filters the \texttt{dseries}, returning the trend component
\begin{itemize}
\item \texttt{ts1.hptrend(lambda) \% lambda = 1600 by default}
\end{itemize}
\item \texttt{qdiff}: Quarterly difference; works on quarterly, monthly, and weekly series
\begin{itemize}
\item \texttt{ts1.qdiff()}
\end{itemize}
\item \texttt{qgrowth}: Quarterly growth rate: $\frac{ts_t-ts_{t-1}}{ts_{t-1}}$. Works on quarterly, monthly, and weekly series
\begin{itemize}
\item \texttt{ts1.qgrowth()}
\end{itemize}
\item \texttt{yidff}: Yearly difference; works on yearly, quarterly, monthly, and weekly series
\begin{itemize}
\item \texttt{ts1.ydiff()}
\end{itemize}
\item \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}
\item \texttt{ts1.ygrowth()}
\end{itemize}
\end{itemize}
\end{frame}
\begin{frame}[fragile,t]
\frametitle{Operations on \texttt{dseries}}
\begin{itemize}
\item \texttt{abs}: The absolute value of each data point
\item \texttt{cumprod}/\texttt{cumsum}: Cumulative product/sum
\item \texttt{exp}/\texttt{log}: The exponential/log for each data point
\item \texttt{mrdivide}/\texttt{mtimes}: Division/Multiplication
\item \texttt{minus}/\texttt{plus}: Subtraction/Addition
\item \texttt{mpower}: Power
\begin{itemize}
\item \texttt{ts1-ts2}
\item \texttt{ts1-3}
\item \texttt{ts1-[1:3]'}
\end{itemize}
\item \texttt{lag}/\texttt{lead}: lag/lead the series
\begin{itemize}
\item \texttt{ts1(-1)}/\texttt{ts1(2)}
\item \texttt{ts1.lag()}/\texttt{ts1.lead(2)}
\end{itemize}
\item \texttt{uminus}: Equivalent to multiplying by $-1$.
\begin{itemize}
\item \texttt{-ts1}
\end{itemize}
\end{itemize}
\end{frame}
\begin{frame}[fragile,t]
\frametitle{Modifying \texttt{dates}}
\begin{itemize}
\item \texttt{align}: Makes both series cover the same time range by padding with \texttt{NaN}'s
\begin{itemize}
\item \texttt{[ts1,ts2]=align(ts1,ts2)}
\end{itemize}
\item \texttt{chain}:
\item \texttt{horzcat}: Join two or more \texttt{dseries}
\begin{itemize}
\item \texttt{ts3=[ts1 ts2]}
\end{itemize}
\item \texttt{insert}: Inserts variables from one \texttt{dseries} into another
\begin{itemize}
\item \texttt{ts1.insert(ts2, 2)}
\end{itemize}
\item \texttt{merge}: Merge two series
\item \texttt{pop}: remove the last variable from \texttt{dseries}
\item \texttt{plot}: plot a \texttt{dseries}
\item \texttt{rename}: Rename a variable in a dseries
\begin{itemize}
\item \texttt{ts1.rename(`MyVar1',`MyFirstVar')}
\end{itemize}
\item \texttt{save}: Save a \texttt{dseries} in either \texttt{.csv} (default), \texttt{.m}, or \texttt{.mat}
\item \texttt{set\_names}: Rename all variables in a \texttt{dseries}
\begin{itemize}
\item \texttt{ts3.set\_names(`NewName1',`NewName2')}
\end{itemize}
\item \texttt{tex\_rename}: Rename the \LaTeX name for a given variable
\begin{itemize}
\item \texttt{ts1.tex\_rename(`MyVar1',`MyVar\textbackslash\_1')}
\end{itemize}
\item \texttt{vertcat}: Add more observations to existing \texttt{dseries}
\begin{itemize}
\item \texttt{[ts1; dseries(4,`2002y',`MyVar1')]}
\end{itemize}
\end{itemize}
\end{frame}
\subsection{Examples}
@ -326,4 +527,7 @@
\subsection{Examples}
\section{Putting it All Together}
\end{document}