Skip to content
Snippets Groups Projects
Verified Commit 5aab3b5a authored by Stéphane Adjemian's avatar Stéphane Adjemian
Browse files

Added routines to convert dseries to lower frequencies. 

 - daily to monthly
 - daily or monthly to quaterly

Conversion to annual frequency is not yet implemented, but this is
enough to close #1.

Four time aggregation methods are available:

 - 'sum' (aggregation of flow variables),
 - 'end-of-period' (aggregation of stock variables),
 - 'arithmetic-average', (aggregation of rates), and
 - 'geometric-average' (aggregation of ratios)

Examples:

>> a = dseries(rand(2*365+1,1), '2000-01-01')

a is a dseries object:

           | Variable_1
2000-01-01 | 0.26032
2000-01-02 | 0.56927
2000-01-03 | 0.24877
2000-01-04 | 0.3193
2000-01-05 | 0.9108
2000-01-06 | 0.88522
2000-01-07 | 0.79459
2000-01-08 | 0.92581
2000-01-09 | 0.17884
2000-01-10 | 0.51754
           |
2001-12-21 | 0.035016
2001-12-22 | 0.03975
2001-12-23 | 0.98857
2001-12-24 | 0.68618
2001-12-25 | 0.37669
2001-12-26 | 0.50432
2001-12-27 | 0.7635
2001-12-28 | 0.048875
2001-12-29 | 0.72593
2001-12-30 | 0.70133
2001-12-31 | 0.45889

>> dseries2Q(a, 'sum')

ans is a dseries object:

       | Variable_1
2000Q1 | 46.6096
2000Q2 | 45.1456
2000Q3 | 45.0172
2000Q4 | 47.6164
2001Q1 | 49.9093
2001Q2 | 46.2334
2001Q3 | 47.4685
2001Q4 | 47.1611

>> dseries2M(a, 'sum')

ans is a dseries object:

        | Variable_1
2000M1  | 16.7499
2000M2  | 15.4311
2000M3  | 14.4286
2000M4  | 14.3583
2000M5  | 15.7072
2000M6  | 15.0801
2000M7  | 14.2406
2000M8  | 15.9174
2000M9  | 14.8592
2000M10 | 17.5525
2000M11 | 13.3236
2000M12 | 16.7404
2001M1  | 18.9293
2001M2  | 16.1282
2001M3  | 14.8518
2001M4  | 16.9843
2001M5  | 14.5768
2001M6  | 14.6723
2001M7  | 14.9768
2001M8  | 15.3968
2001M9  | 17.0949
2001M10 | 15.0376
2001M11 | 16.6848
2001M12 | 15.4388

>> dseries2Q(dseries2M(a, 'sum'), 'sum')

ans is a dseries object:

       | Variable_1
2000Q1 | 46.6096
2000Q2 | 45.1456
2000Q3 | 45.0172
2000Q4 | 47.6164
2001Q1 | 49.9093
2001Q2 | 46.2334
2001Q3 | 47.4685
2001Q4 | 47.1611
parent 095e1aaf
No related branches found
No related tags found
No related merge requests found
Hide whitespace changes
Inline Side-by-side
src/utilities/convert/dseries2M.m 0 → 100644
+ 102
− 0
View file @ 5aab3b5a
function ts = dseries2M(ds, method)
% INPUTS
% - ds [dseries] daily frequency object with n elements.
% - method [char] 1×m array, method used for the time aggregation, possible values are:
% - 'arithmetic-average' (for rates),
% - 'geometric-average' (for factors),
% - 'sum' (for flow variables), and
% - 'end-of-period' (for stock variables).
%
% OUTPUTS
% - ts [dseries] monthly frequency object with m<n elements.
% Copyright © 2020 Dynare Team
%
% This code 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 dates submodule 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/>.
dm = dates2M(ds.dates);
dM = unique(dm); % dM.ndat will be the maximum number of periods in ts
tdata = NaN(dM.ndat, ds.vobs);
switch method
case 'arithmetic-average'
for i=1:dM.ndat
idm = find(dm==dM(i));
tdata(i,:) = mean(ds.data(idm,:));
if ~isalldays(dM(i), idm)
warning('Not all days are available in month %s.', date2string(dM(i)))
end
end
case 'geometric-average'
for i=1:dM.ndat
idm = find(dm==dM(i));
tdata(i,:) = prod(ds.data(idm,:), 1).^(1/length(idm));
if ~isalldays(dM(i), idm)
warning('Not all days are available in month %s.', date2string(dM(i)))
end
end
case 'sum'
for i=1:dM.ndat
idm = find(dm==dM(i));
tdata(i,:) = sum(ds.data(idm,:), 1);
if ~isalldays(dM(i), idm)
warning('Not all days are available in month %s.', date2string(dM(i)))
end
end
case 'end-of-period'
for i=1:dM.ndat
idm = find(dm==dM(i));
lastday = datevec(ds.dates.time(idm(end)));
tdata(i,:) = ds.data(idm(end),:);
if lastday(3)<expectedlastday(dM(i))
warning('The last available day is not the last observed day of %s.', date2string(dM(i)))
end
end
otherwise
error('Unknow method.')
end
ts = dseries(tdata, dM, ds.name, ds.tex);
end
function eld = expectedlastday(m)
if ismember(m.time(2), [4,6,9,11])
eld = 30;
elseif ismember(m.time(2), [1,3,5,7,8,10,12])
eld = 31;
else % February
if isleapyear(m.time(1))
eld = 29;
else
eld = 28;
end
end
end
function iad = isalldays(m, id)
if ismember(m.time(2), [4,6,9,11])
iad = length(id)==30;
elseif ismember(m.time(2), [1,3,5,7,8,10,12])
iad = length(id)==31;
else % February
if isleapyear(m.time(1))
iad = length(id)==29;
else
iad = length(id)==28;
end
end
end
\ No newline at end of file
src/utilities/convert/dseries2Q.m 0 → 100644
+ 127
− 0
View file @ 5aab3b5a
function ts = dseries2Q(ds, method)
% INPUTS
% - ds [dseries] daily or monthly frequency object with n elements.
% - method [char] 1×m array, method used for the time aggregation, possible values are:
% - 'arithmetic-average' (for rates),
% - 'geometric-average' (for factors),
% - 'sum' (for flow variables), and
% - 'end-of-period' (for stock variables).
%
% OUTPUTS
% - ts [dseries] quaterly frequency object with m<n elements.
% Copyright © 2020 Dynare Team
%
% This code 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 dates submodule 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/>.
dq = dates2Q(ds.dates);
dQ = unique(dq); % dQ.ndat will be the maximum number of periods in ts
tdata = NaN(dQ.ndat, ds.vobs);
switch method
case 'arithmetic-average'
for i=1:dQ.ndat
idq = find(dq==dQ(i));
tdata(i,:) = mean(ds.data(idq,:));
if ds.dates.freq==365 && ~isalldays(dQ(i), idq)
warning('Not all days are available in %s.', date2string(dQ(i)))
end
if ds.dates.freq==12 && ~isequal(length(idq), 3)
warning('Not all months are available in %s.', date2string(dQ(i)))
end
end
case 'geometric-average'
for i=1:dQ.ndat
idq = find(dq==dQ(i));
tdata(i,:) = prod(ds.data(idq,:), 1).^(1/length(idq));
if ds.dates.freq==365 && ~isalldays(dQ(i), idq)
warning('Not all days are available in %s.', date2string(dQ(i)))
end
if ds.dates.freq==12 && ~isequal(length(idq), 3)
warning('Not all months are available in %s.', date2string(dQ(i)))
end
end
case 'sum'
for i=1:dQ.ndat
idq = find(dq==dQ(i));
tdata(i,:) = sum(ds.data(idq,:), 1);
if ds.dates.freq==365 && ~isalldays(dQ(i), idq)
warning('Not all days are available in %s.', date2string(dQ(i)))
end
if ds.dates.freq==12 && ~isequal(length(idq), 3)
warning('Not all months are available in %s.', date2string(dQ(i)))
end
end
case 'end-of-period'
for i=1:dQ.ndat
idq = find(dq==dQ(i));
tdata(i,:) = ds.data(idq(end),:);
if ds.dates.freq==365
lastday = datevec(ds.dates.time(idq(end)));
if lastday(3)<expectedlastday(dQ(i))
warning('The last available day is not the last observed day of %s.', date2string(dQ(i)))
end
end
if ds.dates.freq==12
lastmonth = ds.dates.time(idq(end), 2);
if lastmonth<expectedlastmonth(dQ(i))
warning('The last available day is not the last observed day of %s.', date2string(dQ(i)))
end
end
end
otherwise
error('Unknow method.')
end
ts = dseries(tdata, dQ, ds.name, ds.tex);
end
function eld = expectedlastday(q)
if ismember(q.time(2), [1,4])
eld = 31; % last day of March or December
else
eld = 30; % last day of June or September
end
end
function elm = expectedlastmonth(q)
switch q.time(2)
case 1
elm = 3;
case 2
elm = 6;
case 3
elm = 9;
case 4
elm = 12;
otherwise
end
end
function iad = isalldays(m, id)
if ismember(m.time(2), [3, 4])
iad = length(id)==92;
elseif m.time(2)==2
iad = length(id)==91;
else % contains February
if isleapyear(m.time(1))
iad = length(id)==91;
else
iad = length(id)==90;
end
end
end
\ No newline at end of file
0% or .
You are about to add 0 people to the discussion. Proceed with caution.
Please register or to comment