Commit f2641630 authored by Stéphane Adjemian's avatar Stéphane Adjemian

Added backcast method.

parent 4066e829
function q = backcast(o, p, diff) % --*-- Unitary tests --*--
% Chains two dseries objects.
%
% INPUTS
% - o [dseries]
% - p [dseries]
%
% OUTPUTS
% - q [dseries]
%
% REMARKS
% The two dseries objects must have common frequency and the same number of variables. Also the
% two samples must overlap.
% Copyright (C) 2019 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/>.
q = copy(o);
q.backcast_(p);
return
%@test:1
y = ones(10,1);
for i=2:10
y(i) = 1.1*y(i-1);
end
ds = dseries(y(6:10), '1990Q1', 'toto');
ts = dseries(y(1:6), '1988Q4', 'popeye');
try
ds = backcast(ds, ts);
t(1) = true;
catch
t(1) = false;
end
if t(1)
t(2) = dassert(ds.freq,4);
t(3) = dassert(ds.init.freq,4);
t(4) = dassert(ds.init.time,[1988, 4]);
t(5) = dassert(ds.vobs,1);
t(6) = dassert(ds.nobs,10);
t(7) = abs(ds.data(1)-1)<1e-9;
end
T = all(t);
%@eof:1
\ No newline at end of file
function o = backcast_(o, p, diff) % --*-- Unitary tests --*--
% Copyright (C) 2019 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/>.
if nargin<3
% By default o is backcasted with growth rates of p.
diff = false;
end
if ~isequal(vobs(o), vobs(p))
error('dseries objects must have the same number of variables!')
end
if ~isequal(frequency(o), frequency(p))
error('dseries objects must have common frequencies!')
end
if firstdate(o)>lastdate(p)
error('The first period (%s) in the first dseries object cannot be posterior to the last period (%s) in the second object.\n ==> dseries objects have to overlap.', date2string(o.dates(1)), date2string(o.dates(end)))
end
if firstdate(o)<=firstdate(p)
error('The first period (%s) in the second dseries object does not preceed the first period (%s) in the first object.\n ==> Cannot backcast first dseries object.', date2string(p.dates(1)), date2string(o.dates(1)))
end
idp = find(o.dates(1)==p.dates);
if diff
FirstDifference = p.data(2:idp,:)-p.data(1:idp-1,:);
CumulatedDifferences = cumsum(FirstDifference, 'reverse');
o.data = [bsxfun(@minus, o.data(1:end), CumulatedDifferences); o.data];
else
GrowthFactor = p.data(2:idp,:)./p.data(1:idp-1,:);
CumulatedGrowthFactors = cumprod(GrowthFactor, 'reverse');
o.data = [bsxfun(@rdivide, o.data(1:end), CumulatedGrowthFactors); o.data];
end
o.dates = firstdate(p):lastdate(o);
for i=1:o.vobs
if isempty(o.ops{i})
arg1 = o.name{i};
else
arg1 = o.ops{i};
end
if diff
o.ops(i) = {sprintf('backcast(%s, %s.%s, diff)', arg1, inputname(2), p.name{i})};
else
o.ops(i) = {sprintf('backcast(%s, %s.%s)', arg1, inputname(2), p.name{i})};
end
end
return
%@test:1
y = ones(10,1);
for i=2:10
y(i) = 1.1*y(i-1);
end
ds = dseries(y(6:10), '1990Q1', 'toto');
ts = dseries(y(1:6), '1988Q4', 'popeye');
try
ds.backcast_(ts);
t(1) = true;
catch
t(1) = false;
end
if t(1)
t(2) = dassert(ds.freq,4);
t(3) = dassert(ds.init.freq,4);
t(4) = dassert(ds.init.time,[1988, 4]);
t(5) = dassert(ds.vobs,1);
t(6) = dassert(ds.nobs,10);
t(7) = abs(ds.data(1)-1)<1e-9;
end
T = all(t);
%@eof:1
%@test:2
y = ones(10,1);
for i=2:10
y(i) = y(i-1) + 1;
end
ds = dseries(y(6:10), '1990Q1', 'toto');
ts = dseries(y(1:6), '1988Q4', 'popeye');
try
ds.backcast_(ts, true);
t(1) = true;
catch
t(1) = false;
end
if t(1)
t(2) = dassert(ds.freq,4);
t(3) = dassert(ds.init.freq,4);
t(4) = dassert(ds.init.time,[1988, 4]);
t(5) = dassert(ds.vobs,1);
t(6) = dassert(ds.nobs,10);
t(7) = abs(ds.data(1)-1)<1e-9;
end
T = all(t);
%@eof:2
\ No newline at end of file
......@@ -99,6 +99,7 @@ switch S(1).type
'hptrend','hptrend_', ...
'hpcycle','hpcycle_', ...
'chain','chain_', ...
'backcast','backcast_', ...
'detrend','detrend_', ...
'exist', ...
'mean', ...
......
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