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Johannes Pfeifer
dynare
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688ef1f5
Verified
Commit
688ef1f5
authored
Feb 26, 2021
by
Stéphane Adjemian
Browse files
Updated dseries section in reference manual.
parent
9e37e070
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doc/manual/source/timeseries.rst
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688ef1f5
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@@ 25,11 +25,12 @@ Dates
Dates in a mod file

Dynare understands dates in a mod file. Users can declare annual,
Dynare understands dates in a mod file. Users can declare annual,
biannual,
quarterly, or monthly dates using the following syntax::
1990Y
1990Q3
1990S2
1990Q4
1990M11
Behind the scene, Dynare’s preprocessor translates these expressions
...
...
@@ 164,20 +165,14 @@ The dates class
.. class:: dates
:arg freq: equal to 1, 4, 12 or 365 (resp. for annual, quarterly,
:arg freq: equal to 1,
2,
4, 12 or 365 (resp. for annual,
biannual,
quarterly,
monthly, or daily dates).
:arg time: a ``n*2`` array of integers. If `freq` is equal to 1,
4, or 12, the years are stored in the first column, the
subperiods (1 for annual dates, 14 for quarterly
dates, and 112 for monthly dates) are stored in the
second column. If `freq` is equal to 365, the first
column stores the number of days since the first day of
year 0, the second column is not used.
:arg time: a ``n*1`` array of integers, the number of periods since year 0 ().
Each member is private, one can display the content of a member
but cannot change its value directly. Note that it is not
possible
to mix frequencies in a ``dates`` object: all the
elements must
have common frequency.
but cannot change its value directly. Note
also
that it is not
possible
to mix frequencies in a ``dates`` object: all the
elements must
have common frequency.
The ``dates`` class has the following constructors:
...
...
@@ 187,12 +182,13 @@ The dates class
br Returns an empty ``dates`` object with a given frequency
(if the constructor is called with one input
argument). ``FREQ`` is a character equal to ’Y’ or ’A’ for
annual dates, ’Q’ for quarterly dates, ’M’ for monthly dates,
or ’D’ for daily dates. Note that ``FREQ`` is not case
sensitive, so that, for instance, ’q’ is also allowed for
quarterly dates. The frequency can also be set with an integer
scalar equal to 1 (annual), 4 (quarterly), 12
(monthly), or 365 (daily). The instantiation of empty objects can be used to
annual dates, ’S’ or ’H’ for biannual dates, ’Q’ for
quarterly dates, ’M’ for monthly dates, or ’D’ for daily
dates. Note that ``FREQ`` is not case sensitive, so that, for
instance, ’q’ is also allowed for quarterly dates. The
frequency can also be set with an integer scalar equal to 1
(annual), 2 (biannual), 4 (quarterly), 12 (monthly), or 365
(daily). The instantiation of empty objects can be used to
rename the ``dates`` class. For instance, if one only works
with quarterly dates, object ``qq`` can be created as::
...
...
@@ 219,12 +215,17 @@ The dates class
br Returns a ``dates`` object that represents a date as
given by the string ``STRING``. This string has to be
interpretable as a date (only strings of the following forms
are admitted: ``'1990Y'``, ``'1990A'``, ``'1990Q1'``,
``'1990M2'``, or ``'20201231'``), the routine ``isdate`` can
be used to test if a string is interpretable as a date. If
more than one argument is provided, they should all be dates
represented as strings, the resulting ``dates`` object
contains as many elements as arguments to the constructor.
are admitted: ``'1990Y'``, ``'1990A'``, ``1990S1``,
``1990H1``, ``'1990Q1'``, ``'1990M2'``, or ``'20201231'``),
the routine ``isdate`` can be used to test if a string is
interpretable as a date. If more than one argument is
provided, they should all be dates represented as strings, the
resulting ``dates`` object contains as many elements as
arguments to the constructor. For the daily dates, the string
must be of the form yyyymmdd with two digits for the
months (mm) and days (dd), even if the number of days or
months is smaller than ten (in this case a leading 0 is
required).
.. construct:: dates(DATES)
...
...
@@ 240,14 +241,14 @@ The dates class
.. construct:: dates (FREQ, YEAR, SUBPERIOD[, S])
br where ``FREQ`` is a single character (’Y’, ’A’, ’
Q
’, ’
M
’,
’D’) or integer (1, 4, 12, or 365) specifying the
frequency,
``YEAR`` and ``SUBPERIOD`` and ``S`` are ``n*1``
vectors of
integers. Returns a ``dates`` object with ``n``
elements. The
last argument, ``S``, is only to be used for
daily
frequency. If ``FREQ`` is equal to ``'Y'``, ``'A'`` or
``1``,
the third argument is not needed (because ``SUBPERIOD``
is
necessarily a vector of ones in this case).
br where ``FREQ`` is a single character (’Y’, ’A’, ’
S
’, ’
H
’,
’Q’, ’M’,
’D’) or integer (1,
2,
4, 12, or 365) specifying the
frequency,
``YEAR`` and ``SUBPERIOD`` and ``S`` are ``n*1``
vectors of
integers. Returns a ``dates`` object with ``n``
elements. The
last argument, ``S``, is only to be used for
daily
frequency. If ``FREQ`` is equal to ``'Y'``, ``'A'`` or
``1``,
the third argument is not needed (because ``SUBPERIOD``
is
necessarily a vector of ones in this case).
*Example*
...
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@@ 3142,3 +3143,115 @@ X13 ARIMASEATS interface
>> o.forecast('maxlead',18,'probability',0.95,'save','(fct fvr)');
>> o.run();
Miscellaneous
=============
Time aggregation

br A set of functions allows to convert time series to lower frequencies:
 ``dseries2M`` converts daily time series object to monthly
time series object.
 ``dseries2Q`` converts daily or monthly time series object
to quarterly time series object.
 ``dseries2S`` converts daily, monthly, or quarterly time
series object to biannual time series object.
 ``dseries2Y`` converts daily, monthly, quarterly, or
biannual time series object to annual time series object.
br All these routines have two mandatory input arguments: the first one is a
``dseries`` object, the second one the name (row char array) of the
aggregation method. Possible values for the second argument are:
 ``arithmeticaverage`` (for growth rates),
 ``geometricaverage`` (for growth factors),
 ``sum`` (for flow variables), and
 ``endofperiod`` (for stock variables).
*Example*
::
>> ts = dseries(rand(12,1),'2000M1')
ts is a dseries object:
 Variable_1
2000M1  0.55293
2000M2  0.14228
2000M3  0.38036
2000M4  0.39657
2000M5  0.57674
2000M6  0.019402
2000M7  0.57758
2000M8  0.9322
2000M9  0.10687
2000M10  0.73215
2000M11  0.97052
2000M12  0.60889
>> ds = dseries2Y(ts, 'endofperiod')
ds is a dseries object:
 Variable_1
2000Y  0.60889
Create time series with a univariate model

br It is possible to expand a ``dseries`` object recursively
with the ``from`` command. For instance to create a ``dseries`` object
containing the simulation of an ARMA(1,1) model:
::
>> e = dseries(randn(100, 1), '2000Q1', 'e', '\varepsilon');
>> y = dseries(zeros(100, 1), '2000Q1', 'y');
>> from 2000Q2 to 2024Q4 do y(t)=.9*y(t1)+e(t).4*e(t1);
>> y
y is a dseries object:
 y
2000Q1  0
2000Q2  0.95221
2000Q3  0.6294
2000Q4  1.8935
2001Q1  1.1536
2001Q2  1.5905
2001Q3  0.97056
2001Q4  1.1409
2002Q1  1.9255
2002Q2  0.29287

2022Q2  1.4683
2022Q3  1.3758
2022Q4  1.2218
2023Q1  0.98145
2023Q2  0.96542
2023Q3  0.23203
2023Q4  0.34404
2024Q1  1.4606
2024Q2  0.901
2024Q3  2.4906
2024Q4  0.79661
The expression following the ``do`` keyword can be any univariate
equation, the only constraint is that the model cannot have
leads. It can be a static equation, or a very nonlinear backward
equation with an arbitrary number of lags. The ``from`` command
must be followed by a range, which is separated from the
(recursive) expression to be evaluated by the ``do`` command.
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