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
134
135
136
137
138
139
140
141
142
143
144
145
146
147
148
149
150
151
152
153
154
155
156
157
158
159
160
161
162
163
164
165
166
167
168
169
170
171
172
173
174
175
176
177
178
179
180
181
182
183
184
185
186
187
188
189
190
191
192
193
|
function [yactyrge,yactyre,yactqmyge,yactqmge,yactqge,yacteoqyge,yactqme] = fn_datana2(xdatae,q_m,vlistlog,vlistper,Byrqm,Eyrqm)
% [yactyrge,yactyre,yactqmyge,yactqmge,yactqge,yacteoqyge,yactqme] = fn_datana2(xdatae,q_m,vlistlog,vlistper,Byrqm,Eyrqm)
%
% Generate prior period, period-this-year-to-period-last-year, and other growth rates.
% For annual rates, works for both calendar and any annual years, depending on Byrqm and Eyrqm
%
% xdatae: all data (logged levels or interest rates/100, some of which may be NaN) with the first
% 2 columns indicating years and periods.
% q_m: quarter or month period
% vlistlog: sublist for logged variables
% vlistper: sublists for percent variables
% Byrqm: [year quarter(month)] -- beginning year and period. Optional. If Byqm(2)~=1, we don't get
% calendar annual rates. In other words, the first column of yactyge (which
% indicates years) does not mean calendar years. Byqm(2) must be specified; in other
% words, it must be not set to 0 as in, say, fn_dataext.
% Eyrqm: [year period] -- end year and period. Optional. Eyqm(2) must be specified; in other words, it
% must be not set to 0 as in, say, fn_dataext.
% NOTE: if no inputs Byrqm and Eyrqm are specified, all growth rates begin at xdatae(1,1:2).
%----------
% yactyrge: annual growth rates with dates in the first 2 columns.
% yactyre: annual average logged level with dates in the 1st 2 columns.
% yactqmyge: period-this-year-to-period-last-year annual growth rates with dates in the first 2 columns.
% yactqmge: prior-period annualized growth rates with dates in the first 2 columns.
% yactqge: if monthly data, prior-quarter annualized growth rate with dates in the first 2 columns;
% if not, yactqge = NaN.
% yacteoqyge: if monthly data, EOQ is last month of quarter. EOQ-this-year-to-EOQ-last-year annual growth rates with dates in first 2 columns.
% If not monthly data, yacteoqyge = NaN.
% Note that yacteoqyge(:,1:2) = yactqge(4:end,1:2).
% yactqme: data (logged levels or interest rates/100) with dates in the first 2 columns.
% Same as xdatae but with Brow:Erow.
%
% Tao Zha, April 2000.
% See the old but useful function fore_mqy.m.
% Added yactqge in February 2004.
% Added yacteoqyge in March 2004.
%
% 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/>.
%
if size(xdatae,1)<2*q_m
error('We need at least two years of xdatae to get annual rates. Check xdatae!!')
end
if nargin==4
Brow=1; Erow=length(xdatae(:,1));
nyr = floor((Erow-Brow+1)/q_m);
yrsg = [xdatae(q_m+1,1):xdatae(q_m+1,1)+nyr-2]'; % for annual growth later on
else
if Byrqm(2)<1 | Eyrqm(2)<1
error('This function requires specifying both years and months (quarters) in Byrqm and Eyrqm')
end
Brow = min(find(xdatae(:,1)==Byrqm(1)));
if isempty(Brow)
error('Byrqm is outside the date range of xdatae(:,1:2)!')
end
nadt=Byrqm(2)-xdatae(Brow,2);
if nadt<0
error('Byrqm is outside the date range indicated by xdatae(:,1:2)!')
end
Brow=Brow+nadt;
%
Erow = min(find(xdatae(:,1)==Eyrqm(1)));
if isempty(Brow)
error('Eyrqm is outside the date range of xdatae(:,1:2)!')
end
nadt2=Eyrqm(2)-xdatae(Erow,2);
if nadt<0
error('Eyrqm is outside the date range indicated by xdatae(:,1:2)!')
end
Erow=Erow+nadt2;
nyr = floor((Erow-Brow+1)/q_m);
yrsg = [Byrqm(1)+1:Byrqm(1)+nyr-1]'; % for annual growth later on, which will
% start at Byrqm(1) instead of Byrqm(1)+1
end
%
yactqme = xdatae(Brow:Erow,:); % with dates
yactqm = yactqme(:,3:end); % only data
%======== prior period change (annaluized rate)
yactqmg = yactqm(2:end,:); % start at second period to get growth rate
yactqmg(:,vlistlog) = (yactqm(2:end,vlistlog) - yactqm(1:end-1,vlistlog)) .* q_m;
% monthly, 12*log(1+growth rate), annualized growth rate
yactqmg(:,vlistlog) = 100*(exp(yactqmg(:,vlistlog))-1);
yactqmg(:,vlistper) = 100*yactqmg(:,vlistper);
yactqmge = [yactqme(2:end,1:2) yactqmg];
%======== change from the last year
yactqmyg = yactqm(q_m+1:end,:); % start at the last-year period to get growth rate
yactqmyg(:,vlistlog) = (yactqm(q_m+1:end,vlistlog) - yactqm(1:end-q_m,vlistlog));
yactqmyg(:,vlistlog) = 100*(exp(yactqmyg(:,vlistlog))-1);
yactqmyg(:,vlistper) = 100*yactqmyg(:,vlistper);
yactqmyge = [yactqme(q_m+1:end,1:2) yactqmyg];
%======== annual growth rates
nvar = length(xdatae(1,3:end));
ygmts = yactqm(1:nyr*q_m,:); % converted to the multiplication of q_m
ygmts1 = reshape(ygmts,q_m,nyr,nvar);
ygmts2 = sum(ygmts1,1) ./ q_m;
ygmts3 = reshape(ygmts2,nyr,nvar); % converted to annual average series
%
yactyrg = ygmts3(2:end,:); % start at the last-year period to get growth rate
yactyrg(:,vlistlog) = ygmts3(2:end,vlistlog) - ygmts3(1:end-1,vlistlog);
% annual rate: log(1+growth rate)
yactyrg(:,vlistlog) = 100*(exp(yactyrg(:,vlistlog))-1);
yactyrg(:,vlistper) = 100*yactyrg(:,vlistper);
yactyrge = [yrsg zeros(nyr-1,1) yactyrg];
yrsg1=[yrsg(1)-1:yrsg(end)]';
yactyre = [yrsg1 zeros(nyr,1) ygmts3];
%======== Quarter-to-last quarter annualized growth rates.
if (q_m==12)
%=== Beginning row.
mcnt = mod(xdatae(1,2),3); %Begining month.
if (mcnt==0)
QrowBin = 2; % Reset the beginning month to match a quarter.
elseif (mcnt==1)
QrowBin = 1; % Reset the beginning month to match a quarter.
elseif (mcnt==2)
QrowBin = 3; % Reset the beginning month to match a quarter.
else
error('.../fn_datana2.m: Number for months in the dates must be between 1 and 12 inclusive');
end
Qcnt = (xdatae(QrowBin,2)+2)/3;
if (xdatae(1,2)<11) % Up to October.
QyearBin = xdatae(1,1);
else % November and December.
QyearBin = xdatae(1,1) + 1;
end;%if
%=== Ending row.
QrowEnd = size(xdatae, 1) - mod(xdatae(end,2),3); % Reset the ending month to match a quarter.
nqs = (QrowEnd - QrowBin + 1)/3;
%=== Getting last month of the quarter (end of quarter: eoq).
yacteoq = xdatae(QrowBin:QrowEnd,3:end); % Without dates.
yacteoq1 = reshape(yacteoq, 3, nqs, nvar);
yacteoq2 = zeros(1, nqs, nvar);
yacteoq2(:,:,vlistper) = yacteoq1(3,:,vlistper);
yacteoq2(:,:,vlistlog) = yacteoq1(3,:,vlistlog);
yacteoq3 = reshape(yacteoq2, nqs, nvar);
%=== EOQ-this-year-to-EOQ-last-year annual growth rates.
yacteoqyg = yacteoq3(5:end,:);
yacteoqyg(:,vlistlog) = 100*(exp(yacteoq3(5:end, vlistlog) - yacteoq3(1:end-4, vlistlog))-1);
yacteoqyg(:,vlistper) = 100*yacteoqyg(:,vlistper);
%=== Getting quarterly averages.
yactq = xdatae(QrowBin:QrowEnd,3:end); % Without dates.
nqs = (QrowEnd - QrowBin + 1)/3;
yactq1 = reshape(yactq, 3, nqs, nvar);
yactq2 = zeros(1, nqs, nvar);
yactq2(:,:,vlistper) = sum(yactq1(:,:,vlistper), 1) ./ 3;
yactq2(:,:,vlistlog) = sum(exp(yactq1(:,:,vlistlog)), 1) ./ 3;
yactq3 = reshape(yactq2, nqs, nvar);
%=== Quarterly (to prior-quarter) annualized growth rates.
yactqg = yactq3(2:end,:);
yactqg(:,vlistlog) = 100*((yactq3(2:end, vlistlog) ./ yactq3(1:end-1, vlistlog)).^4-1);
yactqg(:,vlistper) = 100*yactqg(:,vlistper);
%======= Adding quarterly dates. =======
qdates = zeros(nqs,2);
for k=1:nqs
qdates(k,1) = floor(QyearBin + (k+Qcnt-2)/4);
tmpi = mod(k+Qcnt-1, 4);
if (tmpi==0)
qdates(k,2) = 4;
else
qdates(k,2) = tmpi;
end
end
yacteoqyge = [qdates(5:end,:) yacteoqyg];
yactqge = [qdates(2:end,:) yactqg];
else
yacteoqyge = NaN;
yactqge = NaN;
end
|
