added new annual aggregation types, for consistent quantity/price aggregations, if required.
parent
cb3362b89d
commit
a8107e154a
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@ -1,5 +1,5 @@
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function [ya, yass, gya, gyass] = quarterly2annual(y,yss,GYTREND0,type,islog)
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function [ya, yass, gya, gyass] = quarterly2annual(y,yss,GYTREND0,type,islog,aux)
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% function [ya, yass, gya, gyass] = quarterly2annual(y,yss,GYTREND0,type,islog)
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% function [ya, yass, gya, gyass] = quarterly2annual(y,yss,GYTREND0,type,islog,aux)
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% transforms quarterly (log-)level time series to annual level and growth rate
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% transforms quarterly (log-)level time series to annual level and growth rate
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% it accounts for stock/flow/deflator series.
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% it accounts for stock/flow/deflator series.
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%
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%
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@ -11,8 +11,13 @@ function [ya, yass, gya, gyass] = quarterly2annual(y,yss,GYTREND0,type,islog)
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% 2 average
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% 2 average
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% 3 last period (Q4)
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% 3 last period (Q4)
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% 4 geometric average
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% 4 geometric average
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% 5 annual price as quantity weighted average
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% 6 annual quantity from average price
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% 7 annual nominal from Q real and deflator
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% islog 0 level (default)
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% islog 0 level (default)
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% 1 log-level
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% 1 log-level
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% aux optional input used when type>4
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%
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%
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%
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% OUTPUTS
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% OUTPUTS
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% ya annual (log-)level
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% ya annual (log-)level
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@ -48,30 +53,75 @@ end
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if nargin<5 || isempty(islog),
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if nargin<5 || isempty(islog),
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islog=0;
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islog=0;
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end
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end
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if isstruct(aux),
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yaux=aux.y;
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yauxss=aux.yss;
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islogaux=aux.islog;
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GYTREND0aux=aux.GYTREND0;
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typeaux=aux.type;
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if islogaux
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yaux=exp(yaux+yauxss);
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yauxss=exp(yauxss);
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yaux=yaux-yauxss;
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end
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elseif type > 4,
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error('TYPE>4 requires auxiliary variable!')
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end
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if islog
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if islog
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y=exp(y+yss);
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y=exp(y+yss);
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yss=exp(yss);
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yss=exp(yss);
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y=y-yss;
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y=y-yss;
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end
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end
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switch type
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switch type
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case 1
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case 1
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yass = yss*(exp(-GYTREND0*3)+exp(-GYTREND0*2)+exp(-GYTREND0)+1);
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yass = yss*(exp(-GYTREND0*3)+exp(-GYTREND0*2)+exp(-GYTREND0)+1);
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tmp = lagged(y,3)*exp(-GYTREND0*3)+lagged(y,2)*exp(-GYTREND0*2)+lagged(y,1)*exp(-GYTREND0)+y; % annualized level
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tmp = lagged(y,3)*exp(-GYTREND0*3)+lagged(y,2)*exp(-GYTREND0*2)+lagged(y,1)*exp(-GYTREND0)+y; % annualized level
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ya = tmp(4:4:end);
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case 2
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case 2
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yass = yss*(exp(-GYTREND0*3)+exp(-GYTREND0*2)+exp(-GYTREND0)+1)/4;
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yass = yss*(exp(-GYTREND0*3)+exp(-GYTREND0*2)+exp(-GYTREND0)+1)/4;
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tmp = (lagged(y,3)*exp(-GYTREND0*3)+lagged(y,2)*exp(-GYTREND0*2)+lagged(y,1)*exp(-GYTREND0)+y)/4; % annualized level
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tmp = (lagged(y,3)*exp(-GYTREND0*3)+lagged(y,2)*exp(-GYTREND0*2)+lagged(y,1)*exp(-GYTREND0)+y)/4; % annualized level
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ya = tmp(4:4:end);
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case 3
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case 3
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yass=yss;
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yass=yss;
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tmp = y;
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tmp = y;
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ya = tmp(4:4:end);
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case 4
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case 4
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yass = yss*(exp(-GYTREND0*3/2));
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yass = yss*(exp(-GYTREND0*3/2));
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tmp = (lagged(y+yss,3)*exp(-GYTREND0*3).*lagged(y+yss,2)*exp(-GYTREND0*2).*lagged(y+yss,1)*exp(-GYTREND0).*(y+yss)).^(1/4); % annualized level
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tmp = (lagged(y+yss,3)*exp(-GYTREND0*3).*lagged(y+yss,2)*exp(-GYTREND0*2).*lagged(y+yss,1)*exp(-GYTREND0).*(y+yss)).^(1/4); % annualized level
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tmp = tmp - yass;
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tmp = tmp - yass;
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ya = tmp(4:4:end);
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case 5
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% nominal series
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[yna, ynass] = quarterly2annual(y.*yaux,yss.*yauxss,GYTREND0+GYTREND0aux,typeaux,0,0);
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% real series
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[yra, yrass] = quarterly2annual(yaux,yauxss,GYTREND0aux,typeaux,0,0);
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% deflator
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yass = ynass/yrass;
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ya = yna./yra;
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case 6
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% nominal series
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[yna, ynass] = quarterly2annual(y.*yaux,yss.*yauxss,GYTREND0+GYTREND0aux,typeaux,0,0);
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% deflator
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[pa, pass] = quarterly2annual(yaux,yauxss,GYTREND0aux,2,0,0);
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% real series
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yass = ynass/pass;
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ya = yna./pa;
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case 7
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% nominal series
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[ya, yass] = quarterly2annual(y.*yaux,yss.*yauxss,GYTREND0+GYTREND0aux,typeaux,0,0);
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GYTREND0=GYTREND0+GYTREND0aux;
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otherwise
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otherwise
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error('Wrong type input')
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error('Wrong type input')
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end
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end
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ya = tmp(4:4:end);
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% annual growth rate
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% annual growth rate
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gyass = GYTREND0*4;
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gyass = GYTREND0*4;
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gya = (ya+yass)./(lagged(ya,1)+yass).*exp(4*GYTREND0)-1-gyass;
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gya = (ya+yass)./(lagged(ya,1)+yass).*exp(4*GYTREND0)-1-gyass;
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