Changed behaviour of cumsum and cumprod...

When NaNs are present in the dataset. Do not return an array filled with
NaNs if only the first observations are NaNs.

(cherry picked from commit a3c6f147)

src/@dseries/cumprod.m

@@ -27,19 +27,40 @@ function B = cumprod(varargin) % --*-- Unitary tests --*--
 % You should have received a copy of the GNU General Public License
 % along with Dynare.  If not, see <http://www.gnu.org/licenses/>.
 
-% Get indices of the columns without NaNs
-idx = find(~any(isnan(varargin{1}.data)));
+% Get the firt observation number where all the variables are observed (ie without NaNs)
+idx = find(all(~isnan(varargin{1}.data), 2),1);
+if isempty(idx)
+    idx = 0;
+end
 
-if ~isequal(idx(:),transpose(1:vobs(varargin{1})))
-    warning('dseries::cumprod: The cumulated product is not computed for some variables because they have NaNs!')
+% Is the first period where variables are observed common?
+common_first_period_witout_nan = true;
+if ~idx
+    if any(~isnan(varargin{1}.data(:)))
+        common_first_period_witout_nan = false;
+    end
+else
+    if idx>1
+        if any(any(~isnan(varargin{1}.data(1:idx-1,:))))
+            common_first_period_witout_nan = false;
+        end
+    end
 end
 
 switch nargin
-    case 1
+  case 1
       % Initialize the output.
       B = varargin{1};
       % Perform the cumulated sum
-      B.data(:,idx) = cumprod(B.data(:,idx));
+      if isequal(idx, 1)
+          B.data = cumprod(B.data);
+      else
+          if common_first_period_witout_nan
+              B.data(idx:end,:) = cumprod(B.data(idx:end,:));
+          else
+              B.data = cumprodnan(B.data);
+          end
+      end
       % Change the name of the variables
       for i=1:vobs(B)
           B.name(i) = {['cumprod(' B.name{i} ')']};
@@ -221,4 +242,19 @@ end
 %$ % Check the results.
 %$ t(1) = dassert(ts3.data,ts4.data);
 %$ T = all(t);
-%@eof:5
\ No newline at end of file
+%@eof:5
+
+%@test:6
+%$ % Define a data set.
+%$ A = [NaN, NaN; 1 NaN; 1 1; 1 1; 1 NaN];
+%$
+%$ % Instantiate a time series object.
+%$ ts0 = dseries(A);
+%$
+%$ % Call the tested method.
+%$ ts0.cumprod();
+%$
+%$ % Check the results.
+%$ t(1) = dassert(ts0.data, A);
+%$ T = all(t);
+%@eof:6
\ No newline at end of file

src/@dseries/cumsum.m

@@ -27,11 +27,24 @@ function B = cumsum(varargin) % --*-- Unitary tests --*--
 % You should have received a copy of the GNU General Public License
 % along with Dynare.  If not, see <http://www.gnu.org/licenses/>.
 
-% Get indices of the columns without NaNs
-idx = find(~any(isnan(varargin{1}.data)));
+% Get the firt observation number where all the variables are observed (ie without NaNs)
+idx = find(all(~isnan(varargin{1}.data), 2),1);
+if isempty(idx)
+    idx = 0;
+end
 
-if ~isequal(idx(:),transpose(1:vobs(varargin{1})))
-    warning('dseries::cumsum: The cumulated sum is not computed for some variables because they have NaNs!')
+% Is the first period where variables are observed common?
+common_first_period_witout_nan = true;
+if ~idx
+    if any(~isnan(varargin{1}.data(:)))
+        common_first_period_witout_nan = false;
+    end
+else
+    if idx>1
+        if any(any(~isnan(varargin{1}.data(1:idx-1,:))))
+            common_first_period_witout_nan = false;
+        end
+    end
 end
 
 switch nargin
@@ -39,7 +52,15 @@ switch nargin
       % Initialize the output.
       B = varargin{1};
       % Perform the cumulated sum
-      B.data(:,idx) = cumsum(B.data(:,idx));
+      if isequal(idx, 1)
+          B.data = cumsum(B.data);
+      else
+          if common_first_period_witout_nan
+              B.data(idx:end,:) = cumsum(B.data(idx:end,:));
+          else
+              B.data = cumsumnan(B.data);
+          end
+      end
       % Change the name of the variables
       for i=1:vobs(B)
           B.name(i) = {['cumsum(' B.name{i} ')']};
@@ -208,4 +229,22 @@ end
 %$ % Check the results.
 %$ t(1) = dassert(ts3.data,ts4.data);
 %$ T = all(t);
-%@eof:5
\ No newline at end of file
+%@eof:5
+
+%@test:6
+%$ % Define a data set.
+%$ A = [NaN, NaN; 1 NaN; 1 1; 1 1; 1 NaN];
+%$
+%$ % Instantiate a time series object.
+%$ ts0 = dseries(A);
+%$
+%$ % Call the tested method.
+%$ ts0.cumsum();
+%$
+%$ % Expected results.
+%$ A = [NaN   NaN; 1   NaN; 2     1; 3     2; 4   NaN];
+%$
+%$ % Check the results.
+%$ t(1) = dassert(ts0.data, A);
+%$ T = all(t);
+%@eof:6
\ No newline at end of file

src/initialize_dseries_toolbox.m

@@ -23,6 +23,7 @@ addpath([dseries_src_root '/utilities/insert'])
 addpath([dseries_src_root '/utilities/file'])
 addpath([dseries_src_root '/utilities/from'])
 addpath([dseries_src_root '/utilities/variables'])
+addpath([dseries_src_root '/utilities/cumulate'])
 
 % Add missing routines if dynare is not in the path
 if ~exist('demean','file')

src/utilities/cumulate/cumprodnan.m

+function A = cumprodnan(a)
+
+% Copyright (C) 2016 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 dseries 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/>.
+
+b = ~isnan(a);
+A = a;
+
+for i=1:size(a, 2)
+    c = find(b(:,i), 1);
+    A(c:end,i) = cumprod(a(c:end,i));
+end
\ No newline at end of file

src/utilities/cumulate/cumsumnan.m

+function A = cumsumnan(a)
+
+% Copyright (C) 2016 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 dseries 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/>.
+
+b = ~isnan(a);
+A = a;
+
+for i=1:size(a, 2)
+    c = find(b(:,i), 1);
+    A(c:end,i) = cumsum(a(c:end,i));
+end
\ No newline at end of file