1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
21
22
23
24
25
26
27
28
29
30
31
32
33
34
35
36
37
38
39
40
41
42
43
44
45
46
47
48
49
50
51
52
53
54
55
56
57
58
59
60
61
62
63
64
65
66
67
68
69
70
71
72
73
74
75
76
77
78
79
80
81
82
83
84
85
86
87
88
89
90
91
92
93
94
95
96
97
98
99
100
101
102
103
104
105
106
107
108
109
110
111
112
113
114
115
116
117
118
119
120
121
122
123
124
125
126
127
128
129
130
131
132
133
|
function [yact,yactmg,yactqg,yactCalyg,yactCal] = datactcon(xinput)
% [yact,yactmg,yactqg,yactCalyg,yactCal] = datactcon(xinput)
% Data-actual-conditions. Take the raw data xdata to mlog, mg, qg, and yg.
% Note yact(mlog), yactqg, and yactCalyg corr. to myears, qyears, and yearsCal
%
% xdata=xinput{1}: data, all logged except R, U, etc.
% nSample=xinput{2}: sample size (including lags or initial periods)
% nSampleCal=xinput{3}: converting nSample to sample marked by calendar years;
% actup=xinput{4}: periods for actual data (monthly)
% actupq=xinput{5}: periods for actual data (quarterly)
% actupy=xinput{6}: periods for actual data (calendar yearly)
% vlist=xinput{7}: list of variables
% vlistlog=xinput{8}: sub list of variables that are in log
% vlistper=xinput{9}: sub list of variables that are in percent
% q_m=xinput{10}: month or quarter in the model
% forep=xinput{11}: forecast periods (monthly)
% forepq=xinput{12}: quarters in the forecast period
% forepy=xinput{13}: calendar years in the forecast period
% Psuedo=xinput{14}: 1: Psuedo out-of-sample; 0: real time out-of-sample
% qmEnd=xinput{15}: last month (or quarter) of the sample
%-------------
% yact: (actup+forep*Psuedo)-by-nvar; log(y) except R, ect. (monthly).
% Begin: nSample-actup+1; End: nSample+forep*Psuedo. Match dates myears
% yactmg: (size(yact,1)-1)-by-nvar; month-to-month annualized growth for actual data.
% Begin: nSample-actup+2; End: nSample+forep*Psuedo. Match dates "myears(2:end)"
% yactqg: prior-quarter annualized growth for actual data
% Match dates "qyears."
% yactCalyg: annual growth for actual data
% Match dates "yearsCal."
% yactCal: weirdo -- seldom used. Same as yact but ends at the end of the
% last calendar year. If Psuedo, it includes some actual data in
% the 1st forecast calendar year. I haven't found the use of this weirdo.
%
% Written by Tao Zha March 1998
% Revised, October 1998
%
% Copyright (C) 1997-2012 Tao Zha
%
% This 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.
%
% It 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.
%
% If you did not received a copy of the GNU General Public License
% with this software, see <http://www.gnu.org/licenses/>.
%
xdata=xinput{1}; nSample=xinput{2}; nSampleCal=xinput{3};
actup=xinput{4}; actupq=xinput{5}; actupy=xinput{6}; vlist=xinput{7};
vlistlog=xinput{8}; vlistper=xinput{9}; q_m=xinput{10}; forep=xinput{11};
forepq=xinput{12}; forepy=xinput{13}; Psuedo=xinput{14}; qmEnd=xinput{15};
%--------------------------------------
% Monthly log, acutal data
% yact the way it is and yactCal ends at the end of calendar year
%----------------------------------------
yact = xdata(nSample-actup+1:nSample+forep*Psuedo,:);
% actup (not calendar) months + forep
yactCal = xdata(nSampleCal-actupy*q_m+1:nSampleCal+forepy*q_m*Psuedo,:);
% calendar years
%---------------------------------------------------------------
% Actual monthly growth rate, Prior quarter, and calendar yearly change
%---------------------------------------------------------------
%
%@@@ Monthly change (annaluized rate)
%
yactm = yact;
mT1 = length(yact(:,1));
%
yactmg = yactm(2:mT1,:); % start at second month to get growth rate
yactmg(:,vlistlog) = (yactm(2:mT1,vlistlog) - yactm(1:mT1-1,vlistlog)) .* q_m;
% monthly, 12*log(1+growth rate), annualized growth rate
yactmg(:,vlistlog) = 100*(exp(yactmg(:,vlistlog))-1);
yactmg(:,vlistper) = 100*yactmg(:,vlistper);
%
%@@@ Prior Quarter change (annaluized rate)
%
yactQ = xdata(nSample-mod(qmEnd,3)-actupq*3+1:nSample-mod(qmEnd,3)+forepq*3*Psuedo,:);
yactq = zeros(actupq+forepq*Psuedo,length(vlist));
%
qT1 = length(yactQ(:,1))/3;
qT1a = length(yactq(:,1));
if qT1 ~= qT1a
warning('line #')
error('qT1: Beginings or ends of monthly and quarterly series do not match!')
end
%
for i = 1:qT1
i1 = 1+3*(i-1);
i2 = 3*i;
yactq(i,:) = sum(yactQ(i1:i2,:)) ./ 3;
end
%
yactqg = yactq(5:qT1,:); % 4+1=5 where 4 means 4 quarters
yactqg(:,vlistlog) = (yactq(5:qT1,vlistlog) - yactq(4:qT1-1,vlistlog)) .* 4;
% quarterly, 4*log(1+growth rate), annualized growth rate
yactqg(:,vlistlog) = 100*(exp(yactqg(:,vlistlog))-1);
yactqg(:,vlistper) = 100*yactqg(:,vlistper);
%
%@@@ Calendar year-over-year change
%
yactCaly = zeros(actupy+forepy*Psuedo,length(vlist));
% past "actupy" calendar years + forepy*Psuedo
yT1 = length(yactCal(:,1))/q_m;
yT1a = length(yactCaly(:,1));
if yT1 ~= yT1a
warning('Line #')
error('yT1: Beginings or ends of monthly and quarterly series are not the same!')
end
%
for i = 1:yT1
i1 = 1+q_m*(i-1);
i2 = q_m*i;
yactCaly(i,:) = sum(yactCal(i1:i2,:)) ./ q_m;
end
%
yactCalyg = yactCaly(2:yT1,:); % 1+1=2 where 1 means 1 year
yactCalyg(:,vlistlog) = (yactCaly(2:yT1,vlistlog) - yactCaly(1:yT1-1,vlistlog));
% annual rate: log(1+growth rate)
yactCalyg(:,vlistlog) = 100*(exp(yactCalyg(:,vlistlog))-1);
yactCalyg(:,vlistper) = 100*yactCalyg(:,vlistper);
|
