6. Time Series¶

Dynare provides a MATLAB/Octave class for handling time series data, which is based on a class for handling dates. Dynare also provides a new type for dates, so that the user does not have to worry about class and methods for dates. Below, you will first find the class and methods used for creating and dealing with dates and then the class used for using time series. Dynare also provides an interface to the X-13 ARIMA-SEATS seasonal adjustment program produced, distributed, and maintained by the US Census Bureau (2017).

6.1. Dates¶

6.1.1. Dates in a mod file¶

Dynare understands dates in a mod file. Users can declare annual, bi-annual, quarterly, or monthly dates using the following syntax:

Behind the scene, Dynare’s preprocessor translates these expressions into instantiations of the MATLAB/Octave’s class dates described below. Basic operations can be performed on dates:

plus binary operator (+)

An integer scalar, interpreted as a number of periods, can be added to a date. For instance, if a = 1950Q1 then b = 1951Q2 and b = a + 5 are identical.

plus unary operator (+)

Increments a date by one period. +1950Q1 is identical to 1950Q2, ++++1950Q1 is identical to 1951Q1.

minus binary operator (-)

Has two functions: difference and subtraction. If the second argument is a date, calculates the difference between the first date and the secmond date (e.g. 1951Q2-1950Q1 is equal to 5). If the second argument is an integer X, subtracts X periods from the date (e.g. 1951Q2-2 is equal to 1950Q4).

minus unary operator (-)

Subtracts one period to a date. -1950Q1 is identical to 1949Q4. The unary minus operator is the reciprocal of the unary plus operator, +-1950Q1 is identical to 1950Q1.

colon operator (:)

Can be used to create a range of dates. For instance, r = 1950Q1:1951Q1 creates a dates object with five elements: 1950Q1, 1950Q2, 1950Q3, 1950Q4 and 1951Q1. By default the increment between each element is one period. This default can be changed using, for instance, the following instruction: 1950Q1:2:1951Q1 which will instantiate a dates object with three elements: 1950Q1, 1950Q3 and 1951Q1.

horzcat operator ([,])

Concatenates dates objects without removing repetitions. For instance [1950Q1, 1950Q2] is a dates object with two elements (1950Q1 and 1950Q2).

vertcat operator ([;])

Same as horzcat operator.

eq operator (equal, ==)

Tests if two dates objects are equal. +1950Q1==1950Q2 returns true, 1950Q1==1950Q2 returns false. If the compared objects have both n>1 elements, the eq operator returns a column vector, n by 1, of logicals.

ne operator (not equal, ~=)

Tests if two dates objects are not equal. +1950Q1~= returns false while 1950Q1~=1950Q2 returns true. If the compared objects both have n>1 elements, the ne operator returns an n by 1 column vector of logicals.

lt operator (less than, <)

Tests if a dates object preceeds another dates object. For instance, 1950Q1<1950Q3 returns true. If the compared objects have both n>1 elements, the lt operator returns a column vector, n by 1, of logicals.

gt operator (greater than, >)

Tests if a dates object follows another dates object. For instance, 1950Q1>1950Q3 returns false. If the compared objects have both n>1 elements, the gt operator returns a column vector, n by 1, of logicals.

le operator (less or equal, <=)

Tests if a dates object preceeds another dates object or is equal to this object. For instance, 1950Q1<=1950Q3 returns true. If the compared objects have both n>1 elements, the le operator returns a column vector, n by 1, of logicals.

ge operator (greater or equal, >=)

Tests if a dates object follows another dates object or is equal to this object. For instance, 1950Q1>=1950Q3 returns false. If the compared objects have both n>1 elements, the ge operator returns a column vector, n by 1, of logicals.

One can select an element, or some elements, in a dates object as he would extract some elements from a vector in MATLAB/Octave. Let a = 1950Q1:1951Q1 be a dates object, then a(1)==1950Q1 returns true, a(end)==1951Q1 returns true and a(end-1:end) selects the two last elements of a (by instantiating the dates object [1950Q4, 1951Q1]).

Remark: Dynare substitutes any occurrence of dates in the .mod file into an instantiation of the dates class regardless of the context. For instance, d = 1950Q1 will be translated as d = dates('1950Q1');. This automatic substitution can lead to a crash if a date is defined in a string. Typically, if the user wants to display a date:

disp('Initial period is 1950Q1');

Dynare will translate this as:

disp('Initial period is dates('1950Q1')');

which will lead to a crash because this expression is illegal in MATLAB. For this situation, Dynare provides the $ escape parameter. The following expression:

disp('Initial period is $1950Q1');

will be translated as:

disp('Initial period is 1950Q1');

in the generated MATLAB script.

6.1.2. The dates class¶

Dynare class: dates

Members

freq – equal to 1, 2, 4, 12 or 365 (resp. for annual, bi-annual, quarterly, monthly, or daily dates).
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 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:

Constructor: dates()

Constructor: dates(FREQ)

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, ’S’ or ’H’ for bi-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), 2 (bi-annual), 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:

qq = dates('Q')

and a dates object holding the date 2009Q2:

d0 = qq(2009,2);

which is much simpler if dates objects have to be defined programmatically. For daily dates, we would instantiate an empty daily dates object as:

dd = dates('D')

and a dates object holding the date 2020-12-31:

d1 = dd(2020,12,31);

Constructor: dates(STRING)
Constructor: dates(STRING, STRING, ...): 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', 1990S1, 1990H1, '1990Q1', '1990M2', or '2020-12-31'), 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 yyyy-mm-dd 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).

Constructor: dates(DATES)
Constructor: dates(DATES, DATES, ...): Returns a copy of the dates object DATES passed as input arguments. If more than one argument is provided, they should all be dates objects. The number of elements in the instantiated dates object is equal to the sum of the elements in the dates passed as arguments to the constructor.

Constructor: dates(FREQ, YEAR, SUBPERIOD[, S]): 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

do1 = dates('1950Q1');
do2 = dates('1950Q2','1950Q3');
do3 = dates(do1,do2);
do4 = dates('Q',1950, 1);
do5 = dates('D',1973, 1, 25);

A list of the available methods, by alphabetical order, is given below. Note that by default the methods do not allow in place modifications: when a method is applied to an object a new object is instantiated. For instance, to apply the method multiplybytwo to an object X we write:

>> X = 2;
>> Y = X.multiplybytwo();
>> X

2

>> Y

4

or equivalently:

>> Y = multiplybytwo(X);

the object X is left unchanged, and the object Y is a modified copy of X (multiplied by two). This behaviour is altered if the name of the method is postfixed with an underscore. In this case the creation of a copy is avoided. For instance, following the previous example, we would have:

>> X = 2;
>> X.multiplybytwo_();
>> X

4

Modifying the objects in place, with underscore methods, is particularly useful if the methods are called in loops, since this saves the object instantiation overhead.

Method: C = append(A, B)¶

Method: C = append_(A, B)¶

Appends dates object B, or a string that can be interpreted as a date, to the dates object A. If B is a dates object it is assumed that it has no more than one element.

Example

>> D = dates('1950Q1','1950Q2');
>> d = dates('1950Q3');
>> E = D.append(d);
>> F = D.append('1950Q3');
>> isequal(E,F)

ans =

     1
>> F

F = <dates: 1950Q1, 1950Q2, 1950Q3>

>> D

D = <dates: 1950Q1, 1950Q2>

>> D.append_('1950Q3')

ans = <dates: 1950Q1, 1950Q2, 1950Q3>

Method: B = char(A)¶

Overloads the MATLAB/Octave char function. Converts a dates object into a character array.

Example

>> A = dates('1950Q1');
> A.char()

ans =

'1950Q1'

Method: C = colon(A, B)¶

Method: C = colon(A, i, B)

Overloads the MATLAB/Octave colon (:) operator. A and B are dates objects. The optional increment i is a scalar integer (default value is i=1). This method returns a dates object and can be used to create ranges of dates.

Example

>> A = dates('1950Q1');
>> B = dates('1951Q2');
>> C = A:B

C = <dates: 1950Q1, 1950Q2, 1950Q3, 1950Q4, 1951Q1>

>> D = A:2:B

D = <dates: 1950Q1, 1950Q3, 1951Q1>

Method: B = copy(A)¶: Returns a copy of a dates object.

Method: disp(A)¶: Overloads the MATLAB/Octave disp function for dates object.

Method: display(A)¶

Overloads the MATLAB/Octave display function for dates object.

Example

>> disp(B)

B = <dates: 1950Q1, 1950Q2, 1950Q3, 1950Q4, 1951Q1, 1951Q2, 1951Q3, 1951Q4, 1952Q1, 1952Q2, 1952Q3>

>> display(B)

B = <dates: 1950Q1, 1950Q2, ..., 1952Q2, 1952Q3>

Method: B = double(A)¶

Overloads the MATLAB/Octave double function. A is a dates object. The method returns a floating point representation of a dates object, the integer and fractional parts respectively corresponding to the year and the subperiod. The fractional part is the subperiod number minus one divided by the frequency (1, 4, or 12).

Example:

>> a = dates('1950Q1'):dates('1950Q4');
>> a.double()

ans =

     1950.00
     1950.25
     1950.50
     1950.75

Method: C = eq(A, B)¶

Overloads the MATLAB/Octave eq (equal, ==) operator. dates objects A and B must have the same number of elements (say, n). The returned argument is a n by 1 vector of logicals. The i-th element of C is equal to true if and only if the dates A(i) and B(i) are the same.

Example

>> A = dates('1950Q1','1951Q2');
>> B = dates('1950Q1','1950Q2');
>> A==B

ans =

  2x1 logical array

   1
   0

Method: C = ge(A, B)¶

Overloads the MATLAB/Octave ge (greater or equal, >=) operator. dates objects A and B must have the same number of elements (say, n). The returned argument is a n by 1 vector of logicals. The i-th element of C is equal to true if and only if the date A(i) is posterior or equal to the date B(i).

Example

>> A = dates('1950Q1','1951Q2');
>> B = dates('1950Q1','1950Q2');
>> A>=B

ans =

  2x1 logical array

   1
   1

Method: C = gt(A, B)¶

Overloads the MATLAB/Octave gt (greater than, >) operator. dates objects A and B must have the same number of elements (say, n). The returned argument is a n by 1 vector of logicals. The i-th element of C is equal to 1 if and only if the date A(i) is posterior to the date B(i).

Example

>> A = dates('1950Q1','1951Q2');
>> B = dates('1950Q1','1950Q2');
>> A>B

ans =

  2x1 logical array

   0
   1

Method: D = horzcat(A, B, C, ...)¶

Overloads the MATLAB/Octave horzcat operator. All the input arguments must be dates objects. The returned argument is a dates object gathering all the dates given in the input arguments (repetitions are not removed).

Example

>> A = dates('1950Q1');
>> B = dates('1950Q2');
>> C = [A, B];
>> C

C = <dates: 1950Q1, 1950Q2>

Method: C = intersect(A, B)¶

Overloads the MATLAB/Octave intersect function. All the input arguments must be dates objects. The returned argument is a dates object gathering all the common dates given in the input arguments. If A and B are disjoint dates objects, the function returns an empty dates object. Returned dates in dates object C are sorted by increasing order.

Example

>> A = dates('1950Q1'):dates('1951Q4');
>> B = dates('1951Q1'):dates('1951Q4');
>> C = intersect(A, B);
>> C

C = <dates: 1951Q1, 1951Q2, 1951Q3, 1951Q4>

Method: B = isempty(A)¶

Overloads the MATLAB/Octave isempty function.

Example

>> A = dates('1950Q1');
>> A.isempty()

ans =

  logical

  0

>> B = dates();
>> B.isempty()

ans =

  logical

  1

Method: C = isequal(A, B)¶

Overloads the MATLAB/Octave isequal function.

Example

>> A = dates('1950Q1');
>> B = dates('1950Q2');
>> isequal(A, B)

ans =

  logical

  0

Method: C = le(A, B)¶

Overloads the MATLAB/Octave le (less or equal, <=) operator. dates objects A and B must have the same number of elements (say, n). The returned argument is a n by 1 vector of logicals. The i-th element of C is equal to true if and only if the date A(i) is anterior or equal to the date B(i).

Example

>> A = dates('1950Q1','1951Q2');
>> B = dates('1950Q1','1950Q2');
>> A<=B

ans =

  2x1 logical array

   1
   0

Method: B = length(A)¶

Overloads the MATLAB/Octave length function. Returns the number of elements in a dates object.

Example

>> A = dates('1950Q1'):dates(2000Q3);
>> A.length()

ans =

   203

Method: C = lt(A, B)¶

Overloads the MATLAB/Octave lt (less than, <) operator. dates objects A and B must have the same number of elements (say, n). The returned argument is a n by 1 vector of logicals. The i-th element of C is equal to true if and only if the date A(i) is anterior or equal to the date B(i).

Example

>> A = dates('1950Q1','1951Q2');
>> B = dates('1950Q1','1950Q2');
>> A<B

ans =

  2x1 logical array

   0
   0

Method: D = max(A, B, C, ...)¶

Overloads the MATLAB/Octave max function. All input arguments must be dates objects. The function returns a single element dates object containing the greatest date.

Example

>> A = {dates('1950Q2'), dates('1953Q4','1876Q2'), dates('1794Q3')};
>> max(A{:})

ans = <dates: 1953Q4>

Method: D = min(A, B, C, ...)¶

Overloads the MATLAB/Octave min function. All input arguments must be dates objects. The function returns a single element dates object containing the smallest date.

Example

>> A = {dates('1950Q2'), dates('1953Q4','1876Q2'), dates('1794Q3')};
>> min(A{:})

ans = <dates: 1794Q3>

Method: C = minus(A, B)¶

Overloads the MATLAB/Octave minus operator (-). If both input arguments are dates objects, then number of periods between A and B is returned (so that A+C=B). If B is a vector of integers, the minus operator shifts the dates object by B periods backward.

Example

>> d1 = dates('1950Q1','1950Q2','1960Q1');
>> d2 = dates('1950Q3','1950Q4','1960Q1');
>> ee = d2-d1

ee =

     2
     2
     0

>> d1-(-ee)

ans = <dates: 1950Q3, 1950Q4, 1960Q1>

Method: C = mtimes(A, B)¶

Overloads the MATLAB/Octave mtimes operator (*). A and B are respectively expected to be a dseries object and a scalar integer. Returns dates object A replicated B times.

Example

>> d = dates('1950Q1');
>> d*2

ans = <dates: 1950Q1, 1950Q1>

Method: C = ne(A, B)¶

Overloads the MATLAB/Octave ne (not equal, ~=) operator. dates objects A and B must have the same number of elements (say, n) or one of the inputs must be a single element dates object. The returned argument is a n by 1 vector of logicals. The i-th element of C is equal to true if and only if the dates A(i) and B(i) are different.

Example

>> A = dates('1950Q1','1951Q2');
>> B = dates('1950Q1','1950Q2');
>> A~=B

ans =

  2x1 logical array

   0
   1

Method: C = plus(A, B)¶

Overloads the MATLAB/Octave plus operator (+). If both input arguments are dates objects, then the method combines A and B without removing repetitions. If B is a vector of integers, the plus operator shifts the dates object by B periods forward.

Example

>> d1 = dates('1950Q1','1950Q2')+dates('1960Q1');
>> d2 = (dates('1950Q1','1950Q2')+2)+dates('1960Q1');
>> ee = d2-d1;

ee =

     2
     2
     0

>> d1+ee
ans = <dates: 1950Q3, 1950Q4, 1960Q1>

Method: C = pop(A)¶

Method: C = pop(A, B)

Method: C = pop_(A)¶

Method: C = pop_(A, B)

Pop method for dates class. If only one input is provided, the method removes the last element of a dates object. If a second input argument is provided, a scalar integer between 1 and A.length(), the method removes element number B from dates object A.

Example

>> d = dates('1950Q1','1950Q2');
>> d.pop()

ans = <dates: 1950Q1>

>> d.pop_(1)

ans = <dates: 1950Q2>

Method: C = remove(A, B)¶

Method: C = remove_(A, B)¶

Remove method for dates class. Both inputs have to be dates objects, removes dates in B from A.

Example

>> d = dates('1950Q1','1950Q2');
>> d.remove(dates('1950Q2'))

ans = <dates: 1950Q1>

Method: C = setdiff(A, B)¶

Overloads the MATLAB/Octave setdiff function. All the input arguments must be dates objects. The returned argument is a dates object all dates present in A but not in B. If A and B are disjoint dates objects, the function returns A. Returned dates in dates object C are sorted by increasing order.

Example

>> A = dates('1950Q1'):dates('1969Q4');
>> B = dates('1960Q1'):dates('1969Q4');
>> C = dates('1970Q1'):dates('1979Q4');
>> setdiff(A, B)

ans = <dates: 1950Q1, 1950Q2,  ..., 1959Q3, 1959Q4>

>> setdiff(A, C)

ans = <dates: 1950Q1, 1950Q2,  ..., 1969Q3, 1969Q4>

Method: B = sort(A)¶

Method: B = sort_(A)¶

Sort method for dates objects. Returns a dates object with elements sorted by increasing order.

Example

>> dd = dates('1945Q3','1938Q4','1789Q3');
>> dd.sort()

ans = <dates: 1789Q3, 1938Q4, 1945Q3>

Method: B = strings(A)¶

Converts a dates object into a cell of char arrays.

Example

>> A = dates('1950Q1');
>> A = A:A+1;
>> A.strings()

  ans =

    1x2 cell array

    {'1950Q1'}    {'1950Q2'}

Method: B = subperiod(A)¶

Returns the subperiod of a date (an integer scalar between 1 and A.freq). This method is not implemented for daily dates.

Example

>> A = dates('1950Q2');
>> A.subperiod()

ans =

     2

Method: B = uminus(A)¶

Overloads the MATLAB/Octave unary minus operator. Returns a dates object with elements shifted one period backward.

Example

>> dd = dates('1945Q3','1938Q4','1973Q1');
>> -dd

ans = <dates: 1945Q2, 1938Q3, 1972Q4>

Method: D = union(A, B, C, ...)¶

Overloads the MATLAB/Octave union function. Returns a dates object with elements sorted by increasing order (repetitions are removed, to keep the repetitions use the horzcat or plus operators).

Example

>> d1 = dates('1945Q3','1973Q1','1938Q4');
>> d2 = dates('1973Q1','1976Q1');
>> union(d1,d2)

ans = <dates: 1938Q4, 1945Q3, 1973Q1, 1976Q1>

Method: B = unique(A)¶

Method: B = unique_(A)¶

Overloads the MATLAB/Octave unique function. Returns a dates object with repetitions removed (only the last occurence of a date is kept).

Example

>> d1 = dates('1945Q3','1973Q1','1945Q3');
>> d1.unique()

ans = <dates: 1973Q1, 1945Q3>

Method: B = uplus(A)¶

Overloads the MATLAB/Octave unary plus operator. Returns a dates object with elements shifted one period ahead.

Example

>> dd = dates('1945Q3','1938Q4','1973Q1');
>> +dd

ans = <dates: 1945Q4, 1939Q1, 1973Q2>

Method: D = vertcat(A, B, C, ...)¶: Overloads the MATLAB/Octave horzcat operator. All the input arguments must be dates objects. The returned argument is a dates object gathering all the dates given in the input arguments (repetitions are not removed).

Method: B = year(A)¶

Returns the year of a date (an integer scalar between 1 and A.freq).

Example

>> A = dates('1950Q2');
>> A.subperiod()

ans =

       1950

6.2. The dseries class¶

Dynare class: dseries¶

The MATLAB/Octave dseries class handles time series data. As any MATLAB/Octave statements, this class can be used in a Dynare’s mod file. A dseries object has six members:

Members

name – A vobs*1 cell of strings or a vobs*p character array, the names of the variables.
tex – A vobs*1 cell of strings or a vobs*p character array, the tex names of the variables.
dates (dates) – An object with nobs elements, the dates of the sample.
data (double) – A nobs by vobs array, the data.
ops – The history of operations on the variables.
tags – The user-defined tags on the variables.

data, name, tex, and ops are private members. The following constructors are available:

Constructor: dseries()
Constructor: dseries(INITIAL_DATE): Instantiates an empty dseries object with, if defined, an initial date given by the single element dates object INITIAL_DATE.

Constructor: dseries(FILENAME[, INITIAL_DATE])

Instantiates and populates a dseries object with a data file specified by FILENAME, a string passed as input. Valid file types are .m, .mat, .csv and .xls/.xlsx (Octave only supports .xlsx files and the io package from Octave-Forge must be installed). The extension of the file should be explicitly provided.

A typical .m file will have the following form:

FREQ__ = 4;
INIT__ = '1994Q3';
NAMES__ = {'azert';'yuiop'};
TEX__ = {'azert';'yuiop'};

azert = randn(100,1);
yuiop = randn(100,1);

If a .mat file is used instead, it should provide the same informations, except that the data should not be given as a set of vectors, but as a single matrix of doubles named DATA__. This array should have as many columns as elements in NAMES__ (the number of variables). Note that the INIT__ variable can be either a dates object or a string which could be used to instantiate the same dates object. If INIT__ is not provided in the .mat or .m file, the initial is by default set equal to dates('1Y'). If a second input argument is passed to the constructor, dates object INITIAL_DATE, the initial date defined in FILENAME is reset to INITIAL_DATE. This is typically usefull if INIT__ is not provided in the data file.

If an .xlsx file is used, the first row should be a header containing the variable names. The first column may contain date information that must correspond to a valid date format recognized by Dynare. If such date information is specified in the first column, its header name must be left empty.

Constructor: dseries(DATA_MATRIX[,INITIAL_DATE[,LIST_OF_NAMES[,TEX_NAMES]]])
Constructor: dseries(DATA_MATRIX[,RANGE_OF_DATES[,LIST_OF_NAMES[,TEX_NAMES]]]): If the data is not read from a file, it can be provided via a $T \times N$ matrix as the first argument to dseries ’ constructor, with $T$ representing the number of observations on $N$ variables. The optional second argument, INITIAL_DATE, can be either a dates object representing the period of the first observation or a string which would be used to instantiate a dates object. Its default value is dates('1Y'). The optional third argument, LIST_OF_NAMES, is a $N \times 1$ cell of strings with one entry for each variable name. The default name associated with column i of DATA_MATRIX is Variable_i. The final argument, TEX_NAMES, is a $N \times 1$ cell of strings composed of the LaTeX names associated with the variables. The default LaTeX name associated with column i of DATA_MATRIX is Variable\_i. If the optional second input argument is a range of dates, dates object RANGE_OF_DATES, the number of rows in the first argument must match the number of elements RANGE_OF_DATES or be equal to one (in which case the single observation is replicated).

Constructor: dseries(TABLE)

Creates a dseries object given the MATLAB Table provided as the sole argument. It is assumed that the first column of the table contains the dates of the dseries and the first row contains the names. This feature is not available under Octave or MATLAB R2013a or earlier.

Example

Various ways to create a dseries object:

do1 = dseries(1999Q3);
do2 = dseries('filename.csv');
do3 = dseries([1; 2; 3], 1999Q3, {'var123'}, {'var_{123}'});

>> do1 = dseries(dates('1999Q3'));
>> do2 = dseries('filename.csv');
>> do3 = dseries([1; 2; 3], dates('1999Q3'), {'var123'}, {'var_{123}'});

One can easily create subsamples from a dseries object using the overloaded parenthesis operator. If ds is a dseries object with $T$ observations and d is a dates object with $S<T$ elements, such that $\min(d)$ is not smaller than the date associated to the first observation in ds and $\max(d)$ is not greater than the date associated to the last observation, then ds(d) instantiates a new dseries object containing the subsample defined by d.

A list of the available methods, by alphabetical order, is given below. As in the previous section the in place modifications versions of the methods are postfixed with an underscore.

Method: A = abs(B)¶

Method: abs_(B)¶

Overloads the abs() function for dseries objects. Returns the absolute value of the variables in dseries object B.

Example

>> ts0 = dseries(randn(3,2),'1973Q1',{'A1'; 'A2'},{'A_1'; 'A_2'});
>> ts1 = ts0.abs();
>> ts0

ts0 is a dseries object:

       | A1       | A2
1973Q1 | -0.67284 | 1.4367
1973Q2 | -0.51222 | -0.4948
1973Q3 | 0.99791  | 0.22677

>> ts1

ts1 is a dseries object:

       | abs(A1) | abs(A2)
1973Q1 | 0.67284 | 1.4367
1973Q2 | 0.51222 | 0.4948
1973Q3 | 0.99791 | 0.22677

Method: [A, B] = align(A, B)¶

Method: align_(A, B)¶

If dseries objects A and B are defined on different time ranges, this function extends A and/or B with NaNs so that they are defined on the same time range. Note that both dseries objects must have the same frequency.

Example

>> ts0 = dseries(rand(5,1),dates('2000Q1')); % 2000Q1 -> 2001Q1
>> ts1 = dseries(rand(3,1),dates('2000Q4')); % 2000Q4 -> 2001Q2
>> [ts0, ts1] = align(ts0, ts1);             % 2000Q1 -> 2001Q2
>> ts0

ts0 is a dseries object:

       | Variable_1
2000Q1 | 0.81472
2000Q2 | 0.90579
2000Q3 | 0.12699
2000Q4 | 0.91338
2001Q1 | 0.63236
2001Q2 | NaN

>> ts1

ts1 is a dseries object:

       | Variable_1
2000Q1 | NaN
2000Q2 | NaN
2000Q3 | NaN
2000Q4 | 0.66653
2001Q1 | 0.17813
2001Q2 | 0.12801

>> ts0 = dseries(rand(5,1),dates('2000Q1')); % 2000Q1 -> 2001Q1
>> ts1 = dseries(rand(3,1),dates('2000Q4')); % 2000Q4 -> 2001Q2
>> align_(ts0, ts1);                         % 2000Q1 -> 2001Q2
>> ts1

ts1 is a dseries object:

       | Variable_1
2000Q1 | NaN
2000Q2 | NaN
2000Q3 | NaN
2000Q4 | 0.66653
2001Q1 | 0.17813
2001Q2 | 0.12801

Method: C = backcast(A, B[, diff])¶
Method: backcast_(A, B[, diff])¶: Backcasts dseries object A with dseries object B’s growth rates (except if the last optional argument, diff, is true in which case first differences are used). Both dseries objects must have the same frequency.

Method: B = baxter_king_filter(A, hf, lf, K)¶

Method: baxter_king_filter_(A, hf, lf, K)¶

Implementation of the Baxter and King (1999) band pass filter for dseries objects. This filter isolates business cycle fluctuations with a period of length ranging between hf (high frequency) to lf (low frequency) using a symmetric moving average smoother with $2K+1$ points, so that $K$ observations at the beginning and at the end of the sample are lost in the computation of the filter. The default value for hf is 6, for lf is 32, and for K is 12.

Example

% Simulate a component model (stochastic trend, deterministic
% trend, and a stationary autoregressive process).
e = 0.2*randn(200,1);
u = randn(200,1);
stochastic_trend = cumsum(e);
deterministic_trend = .1*transpose(1:200);
x = zeros(200,1);
for i=2:200
    x(i) = .75*x(i-1) + u(i);
end
y = x + stochastic_trend + deterministic_trend;

% Instantiates time series objects.
ts0 = dseries(y,'1950Q1');
ts1 = dseries(x,'1950Q1'); % stationary component.

% Apply the Baxter-King filter.
ts2 = ts0.baxter_king_filter();

% Plot the filtered time series.
plot(ts1(ts2.dates).data,'-k'); % Plot of the stationary component.
hold on
plot(ts2.data,'--r');           % Plot of the filtered y.
hold off
axis tight
id = get(gca,'XTick');
set(gca,'XTickLabel',strings(ts1.dates(id)));

Method: B = center(A[, geometric])¶
Method: center_(A[, geometric])¶: Centers variables in dseries object A around their arithmetic means, except if the optional argument geometric is set equal to true in which case all the variables are divided by their geometric means.

Method: C = chain(A, B)¶

Method: chain_(A, B)¶

Merge two dseries objects along the time dimension. The two objects must have the same number of observed variables, and the initial date in B must not be posterior to the last date in A. The returned dseries object, C, is built by extending A with the cumulated growth factors of B.

Example

>> ts = dseries([1; 2; 3; 4],dates(`1950Q1'))

ts is a dseries object:

       | Variable_1
1950Q1 | 1
1950Q2 | 2
1950Q3 | 3
1950Q4 | 4

>> us = dseries([3; 4; 5; 6],dates(`1950Q3'))

us is a dseries object:

       | Variable_1
1950Q3 | 3
1950Q4 | 4
1951Q1 | 5
1951Q2 | 6

>> chain(ts, us)

ans is a dseries object:

       | Variable_1
1950Q1 | 1
1950Q2 | 2
1950Q3 | 3
1950Q4 | 4
1951Q1 | 5
1951Q2 | 6

Method: [error_flag, message ] = check(A)¶: Sanity check of dseries object A. Returns 1 if there is an error, 0 otherwise. The second output argument is a string giving brief informations about the error.

Method: B = copy(A)

Returns a copy of A. If an inplace modification method is applied to A, object B will not be affected. Note that if A is assigned to C, C = A, then any in place modification method applied to A will change C.

Example

>> a = dseries(randn(5,1))

a is a dseries object:

   | Variable_1
1Y | -0.16936
2Y | -1.1451
3Y | -0.034331
4Y | -0.089042
5Y | -0.66997

>> b = copy(a);
>> c = a;
>> a.abs();
>> a.abs_();
>> a

a is a dseries object:

   | Variable_1
1Y | 0.16936
2Y | 1.1451
3Y | 0.034331
4Y | 0.089042
5Y | 0.66997

>> b

b is a dseries object:

   | Variable_1
1Y | -0.16936
2Y | -1.1451
3Y | -0.034331
4Y | -0.089042
5Y | -0.66997

>> c

c is a dseries object:

   | Variable_1
1Y | 0.16936
2Y | 1.1451
3Y | 0.034331
4Y | 0.089042
5Y | 0.66997

Method: B = cumprod(A[, d[, v]])¶

Method: cumprod_(A[, d[, v]])¶

Overloads the MATLAB/Octave cumprod function for dseries objects. The cumulated product cannot be computed if the variables in dseries object A have NaNs. If a dates object d is provided as a second argument, then the method computes the cumulated product with the additional constraint that the variables in the dseries object B are equal to one in period d. If a single-observation dseries object v is provided as a third argument, the cumulated product in B is normalized such that B(d) matches v (dseries objects A and v must have the same number of variables).

Example

>> ts1 = dseries(2*ones(7,1));
>> ts2 = ts1.cumprod();
>> ts2

ts2 is a dseries object:

   | cumprod(Variable_1)
1Y | 2
2Y | 4
3Y | 8
4Y | 16
5Y | 32
6Y | 64
7Y | 128

>> ts3 = ts1.cumprod(dates('3Y'));
>> ts3

ts3 is a dseries object:

   | cumprod(Variable_1)
1Y | 0.25
2Y | 0.5
3Y | 1
4Y | 2
5Y | 4
6Y | 8
7Y | 16

>> ts4 = ts1.cumprod(dates('3Y'),dseries(pi));
>> ts4

ts4 is a dseries object:

   | cumprod(Variable_1)
1Y | 0.7854
2Y | 1.5708
3Y | 3.1416
4Y | 6.2832
5Y | 12.5664
6Y | 25.1327
7Y | 50.2655

Method: B = cumsum(A[, d[, v]])¶

Method: cumsum(A[, d[, v]])¶

Overloads the MATLAB/Octave cumsum function for dseries objects. The cumulated sum cannot be computed if the variables in dseries object A have NaNs. If a dates object d is provided as a second argument, then the method computes the cumulated sum with the additional constraint that the variables in the dseries object B are zero in period d. If a single observation dseries object v is provided as a third argument, the cumulated sum in B is such that B(d) matches v (dseries objects A and v must have the same number of variables).

Example

>> ts1 = dseries(ones(10,1));
>> ts2 = ts1.cumsum();
>> ts2

ts2 is a dseries object:

    | cumsum(Variable_1)
1Y  | 1
2Y  | 2
3Y  | 3
4Y  | 4
5Y  | 5
6Y  | 6
7Y  | 7
8Y  | 8
9Y  | 9
10Y | 10

>> ts3 = ts1.cumsum(dates('3Y'));
>> ts3

ts3 is a dseries object:

    | cumsum(Variable_1)
1Y  | -2
2Y  | -1
3Y  | 0
4Y  | 1
5Y  | 2
6Y  | 3
7Y  | 4
8Y  | 5
9Y  | 6
10Y | 7

>> ts4 = ts1.cumsum(dates('3Y'),dseries(pi));
>> ts4

ts4 is a dseries object:

    | cumsum(Variable_1)
1Y  | 1.1416
2Y  | 2.1416
3Y  | 3.1416
4Y  | 4.1416
5Y  | 5.1416
6Y  | 6.1416
7Y  | 7.1416
8Y  | 8.1416
9Y  | 9.1416
10Y | 10.1416

Method: B = detrend(A, m)¶
Method: detrend_(A, m)¶: Detrends dseries object A with a fitted polynomial of order m. Note that each variable is detrended with a different polynomial.

Method: B = dgrowth(A)¶
Method: dgrowth_(A)¶: Computes daily growth rates.

Method: B = diff(A)¶
Method: diff_(A)¶: Returns the first difference of dseries object A.

Method: disp(A): Overloads the MATLAB/Octave disp function for dseries object.

Method: display(A): Overloads the MATLAB/Octave display function for dseries object. display is the function called by MATLAB to print the content of an object if a semicolon is missing at the end of a MATLAB statement. If the dseries object is defined over a too large time span, only the first and last periods will be printed. If the dseries object contains too many variables, only the first and last variables will be printed. If all the periods and variables are required, the disp method should be used instead.

Method: C = eq(A, B)

Overloads the MATLAB/Octave eq (equal, ==) operator. dseries objects A and B must have the same number of observations (say, $T$) and variables ($N$). The returned argument is a $T \times N$ matrix of logicals. Element $(i,j)$ of C is equal to true if and only if observation $i$ for variable $j$ in A and B are the same.

Example

>> ts0 = dseries(2*ones(3,1));
>> ts1 = dseries([2; 0; 2]);
>> ts0==ts1

ans =

   3x1 logical array

    1
    0
    1

Method: l = exist(A, varname)¶

Tests if variable varname exists in dseries object A. Returns true iff variable exists in A.

Example

>> ts = dseries(randn(100,1));
>> ts.exist('Variable_1')

ans =

   logical

    1

>> ts.exist('Variable_2')

ans =

   logical

    0

Method: B = exp(A)¶

Method: exp_(A)¶

Overloads the MATLAB/Octave exp function for dseries objects.

Example

>> ts0 = dseries(rand(10,1));
>> ts1 = ts0.exp();

Method: C = extract(A, B[, ...])¶

Extracts some variables from a dseries object A and returns a dseries object C. The input arguments following A are strings representing the variables to be selected in the new dseries object C. To simplify the creation of sub-objects, the dseries class overloads the curly braces (D = extract (A, B, C) is equivalent to D = A{B,C}) and allows implicit loops (defined between a pair of @ symbol, see examples below) or MATLAB/Octave’s regular expressions (introduced by square brackets).

Example

The following selections are equivalent:

>> ts0 = dseries(ones(100,10));
>> ts1 = ts0{'Variable_1','Variable_2','Variable_3'};
>> ts2 = ts0{'Variable_@1,2,3@'};
>> ts3 = ts0{'Variable_[1-3]$'};
>> isequal(ts1,ts2) && isequal(ts1,ts3)

ans =

   logical

    1

It is possible to use up to two implicit loops to select variables:

names = {'GDP_1';'GDP_2';'GDP_3'; 'GDP_4'; 'GDP_5'; 'GDP_6'; 'GDP_7'; 'GDP_8'; ...
    'GDP_9'; 'GDP_10'; 'GDP_11'; 'GDP_12'; ...
    'HICP_1';'HICP_2';'HICP_3'; 'HICP_4'; 'HICP_5'; 'HICP_6'; 'HICP_7'; 'HICP_8'; ...
    'HICP_9'; 'HICP_10'; 'HICP_11'; 'HICP_12'};

ts0 = dseries(randn(4,24),dates('1973Q1'),names);
ts0{'@GDP,HICP@_@1,3,5@'}

ans is a dseries object:

       | GDP_1    | GDP_3     | GDP_5     | HICP_1   | HICP_3   | HICP_5
1973Q1 | 1.7906   | -1.6606   | -0.57716  | 0.60963  | -0.52335 | 0.26172
1973Q2 | 2.1624   | 3.0125    | 0.52563   | 0.70912  | -1.7158  | 1.7792
1973Q3 | -0.81928 | 1.5008    | 1.152     | 0.2798   | 0.88568  | 1.8927
1973Q4 | -0.03705 | -0.35899  | 0.85838   | -1.4675  | -2.1666  | -0.62032

Method: f = firstdate(A)¶: Returns the first period in dseries object A.

Method: f = firstobservedperiod(A)¶: Returns the first period where all the variables in dseries object A are observed (non NaN).

Method: B = flip(A)¶
Method: flip_(A)¶: Flips the rows in the data member (without changing the periods order).

Method: f = frequency(B)¶

Returns the frequency of the variables in dseries object B.

Example

>> ts = dseries(randn(3,2),'1973Q1');
>> ts.frequency

ans =

     4

Method: D = horzcat(A, B[, ...])

Overloads the horzcat MATLAB/Octave’s method for dseries objects. Returns a dseries object D containing the variables in dseries objects passed as inputs: A, B, ... If the inputs are not defined on the same time ranges, the method adds NaNs to the variables so that the variables are redefined on the smallest common time range. Note that the names in the dseries objects passed as inputs must be different and these objects must have common frequency.

Example

>> ts0 = dseries(rand(5,2),'1950Q1',{'nifnif';'noufnouf'});
>> ts1 = dseries(rand(7,1),'1950Q3',{'nafnaf'});
>> ts2 = [ts0, ts1];
>> ts2

ts2 is a dseries object:

       | nifnif  | noufnouf | nafnaf
1950Q1 | 0.17404 | 0.71431  | NaN
1950Q2 | 0.62741 | 0.90704  | NaN
1950Q3 | 0.84189 | 0.21854  | 0.83666
1950Q4 | 0.51008 | 0.87096  | 0.8593
1951Q1 | 0.16576 | 0.21184  | 0.52338
1951Q2 | NaN     | NaN      | 0.47736
1951Q3 | NaN     | NaN      | 0.88988
1951Q4 | NaN     | NaN      | 0.065076
1952Q1 | NaN     | NaN      | 0.50946

Method: B = hpcycle(A[, lambda])¶

Method: hpcycle_(A[, lambda])¶

Extracts the cycle component from a dseries A object using the Hodrick and Prescott (1997) filter and returns a dseries object, B. The default value for lambda, the smoothing parameter, is 1600.

Example

% Simulate a component model (stochastic trend, deterministic
% trend, and a stationary autoregressive process).
e = 0.2*randn(200,1);
u = randn(200,1);
stochastic_trend = cumsum(e);
deterministic_trend = .1*transpose(1:200);
x = zeros(200,1);
for i=2:200
    x(i) = .75*x(i-1) + u(i);
end
y = x + stochastic_trend + deterministic_trend;

% Instantiates time series objects.
ts0 = dseries(y,'1950Q1');
ts1 = dseries(x,'1950Q1'); % stationary component.

% Apply the HP filter.
ts2 = ts0.hpcycle();

% Plot the filtered time series.
plot(ts1(ts2.dates).data,'-k'); % Plot of the stationary component.
hold on
plot(ts2.data,'--r');           % Plot of the filtered y.
hold off
axis tight
id = get(gca,'XTick');
set(gca,'XTickLabel',strings(ts.dates(id)));

Method: B = hptrend(A[, lambda])¶

Method: hptrend_(A[, lambda])¶

Extracts the trend component from a dseries A object using the Hodrick and Prescott (1997) filter and returns a dseries object, B. Default value for lambda, the smoothing parameter, is 1600.

Example

% Using the same generating data process
% as in the previous example:

ts1 = dseries(stochastic_trend + deterministic_trend,'1950Q1');
% Apply the HP filter.
ts2 = ts0.hptrend();

% Plot the filtered time series.
plot(ts1.data,'-k'); % Plot of the nonstationary components.
hold on
plot(ts2.data,'--r');  % Plot of the estimated trend.
hold off
axis tight
id = get(gca,'XTick');
set(gca,'XTickLabel',strings(ts0.dates(id)));

Method: C = insert(A, B, I)¶

Inserts variables contained in dseries object B in dseries object A at positions specified by integer scalars in vector I, returns augmented dseries object C. The integer scalars in I must take values between `` and A.length()+1 and refers to A ’s column numbers. The dseries objects A and B need not be defined over the same time ranges, but it is assumed that they have common frequency.

Example

>> ts0 = dseries(ones(2,4),'1950Q1',{'Sly'; 'Gobbo'; 'Sneaky'; 'Stealthy'});
>> ts1 = dseries(pi*ones(2,1),'1950Q1',{'Noddy'});
>> ts2 = ts0.insert(ts1,3)

ts2 is a dseries object:

       | Sly | Gobbo | Noddy  | Sneaky | Stealthy
1950Q1 | 1   | 1     | 3.1416 | 1      | 1
1950Q2 | 1   | 1     | 3.1416 | 1      | 1

>> ts3 = dseries([pi*ones(2,1) sqrt(pi)*ones(2,1)],'1950Q1',{'Noddy';'Tessie Bear'});
>> ts4 = ts0.insert(ts1,[3, 4])

ts4 is a dseries object:

       | Sly | Gobbo | Noddy  | Sneaky | Tessie Bear | Stealthy
1950Q1 | 1   | 1     | 3.1416 | 1      | 1.7725      | 1
1950Q2 | 1   | 1     | 3.1416 | 1      | 1.7725      | 1

Method: B = isempty(A): Overloads the MATLAB/octave’s isempty function. Returns true if dseries object A is empty.

Method: C = isequal(A, B): Overloads the MATLAB/octave’s isequal function. Returns true if dseries objects A and B are identical.

Method: C = isinf(A)¶: Overloads the MATLAB/octave’s isinf function. Returns a logical array, with element (i,j) equal to true if and only if variable j is finite in period A.dates(i).

Method: C = isnan(A)¶: Overloads the MATLAB/octave’s isnan function. Returns a logical array, with element (i,j) equal to true if and only if variable j isn’t NaN in period A.dates(i).

Method: C = isreal(A)¶: Overloads the MATLAB/octave’s isreal function. Returns a logical array, with element (i,j) equal to true if and only if variable j is real in period A.dates(i).

Method: B = lag(A[, p])¶

Method: lag_(A[, p])¶

Returns lagged time series. Default value of integer scalar p, the number of lags, is 1.

Example

>> ts0 = dseries(transpose(1:4), '1950Q1')

ts0 is a dseries object:

       | Variable_1
1950Q1 | 1
1950Q2 | 2
1950Q3 | 3
1950Q4 | 4

>> ts1 = ts0.lag()

ts1 is a dseries object:

           | Variable_1
    1950Q1 | NaN
    1950Q2 | 1
    1950Q3 | 2
    1950Q4 | 3

>> ts2 = ts0.lag(2)

ts2 is a dseries object:

       | Variable_1
1950Q1 | NaN
1950Q2 | NaN
1950Q3 | 1
1950Q4 | 2

% dseries class overloads the parenthesis
% so that ts.lag(p) can be written more
% compactly as ts(-p). For instance:

>> ts0.lag(1)

ans is a dseries object:

       | Variable_1
1950Q1 | NaN
1950Q2 | 1
1950Q3 | 2
1950Q4 | 3

or alternatively:

>> ts0(-1)

ans is a dseries object:

       | Variable_1
1950Q1 | NaN
1950Q2 | 1
1950Q3 | 2
1950Q4 | 3

Method: l = lastdate(B)¶

Returns the last period in dseries object B.

Example

>> ts = dseries(randn(3,2),'1973Q1');
>> ts.lastdate()

ans = <dates: 1973Q3>

Method: f = lastobservedperiod(A)¶: Returns the last period where all the variables in dseries object A are observed (non NaN).

Method: B = lead(A[, p])¶

Method: lead_(A[, p])¶

Returns lead time series. Default value of integer scalar p, the number of leads, is 1. As in the lag method, the dseries class overloads the parenthesis so that ts.lead(p) is equivalent to ts(p).

Example

>> ts0 = dseries(transpose(1:4),'1950Q1');
>> ts1 = ts0.lead()

ts1 is a dseries object:

       | Variable_1
1950Q1 | 2
1950Q2 | 3
1950Q3 | 4
1950Q4 | NaN

>> ts2 = ts0(2)

ts2 is a dseries object:

       | Variable_1
1950Q1 | 3
1950Q2 | 4
1950Q3 | NaN
1950Q4 | NaN

Remark

The overloading of the parenthesis for dseries objects, allows to easily create new dseries objects by copying/pasting equations declared in the model block. For instance, if an Euler equation is defined in the model block:

model;
...
1/C - beta/C(1)*(exp(A(1))*K^(alpha-1)+1-delta) ;
...
end;

and if variables , ``A and K are defined as dseries objects, then by writing:

Residuals = 1/C - beta/C(1)*(exp(A(1))*K^(alpha-1)+1-delta) ;

outside of the model block, we create a new dseries object, called Residuals, for the residuals of the Euler equation (the conditional expectation of the equation defined in the model block is zero, but the residuals are non zero).

Method: B = lineartrend(A)¶

Returns a linear trend centered on 0, the length of the trend is given by the size of dseries object A (the number of periods).

Example

>> ts = dseries(ones(3,1));
>> ts.lineartrend()

ans =

     -1
      0
      1

Method: B = log(A)¶

Method: log_(A)¶

Overloads the MATLAB/Octave log function for dseries objects.

Example

>> ts0 = dseries(rand(10,1));
>> ts1 = ts0.log();

Method: B = mdiff(A)¶
Method: mdiff_(A)¶
Method: B = mgrowth(A)¶
Method: mgrowth_(A)¶: Computes monthly differences or growth rates of variables in dseries object A.

Method: B = mean(A[, geometric])¶: Overloads the MATLAB/Octave mean function for dseries objects. Returns the mean of each variable in dseries object A. If the second argument is true the geometric mean is computed, otherwise (default) the arithmetic mean is reported.

Method: C = merge(A, B[, legacy])¶

Merges two dseries objects A and B in dseries object C. Objects A and B need to have common frequency but can be defined on different time ranges. If a variable, say x, is defined both in dseries objects A and B, then the merge will select the variable x as defined in the second input argument, B, except for the NaN elements in B if corresponding elements in A (ie same periods) are well defined numbers. This behaviour can be changed by setting the optional argument legacy equal to true, in which case the second variable overwrites the first one even if the second variable has NaNs.

Example

>> ts0 = dseries(rand(3,2),'1950Q1',{'A1';'A2'})

ts0 is a dseries object:

       | A1      | A2
1950Q1 | 0.96284 | 0.5363
1950Q2 | 0.25145 | 0.31866
1950Q3 | 0.34447 | 0.4355

>> ts1 = dseries(rand(3,1),'1950Q2',{'A1'})

ts1 is a dseries object:

       | A1
1950Q2 | 0.40161
1950Q3 | 0.81763
1950Q4 | 0.97769

>> merge(ts0,ts1)

ans is a dseries object:

       | A1      | A2
1950Q1 | 0.96284 | 0.5363
1950Q2 | 0.40161 | 0.31866
1950Q3 | 0.81763 | 0.4355
1950Q4 | 0.97769 | NaN

 >> merge(ts1,ts0)

 ans is a dseries object:

       | A1      | A2
1950Q1 | 0.96284 | 0.5363
1950Q2 | 0.25145 | 0.31866
1950Q3 | 0.34447 | 0.4355
1950Q4 | 0.97769 | NaN

Method: C = minus(A, B)

Overloads the MATLAB/Octave minus (-) operator for dseries objects, element by element subtraction. If both A and B are dseries objects, they do not need to be defined over the same time ranges. If A and B are dseries objects with $T_A$ and $T_B$ observations and $N_A$ and $N_B$ variables, then $N_A$ must be equal to $N_B$ or $1$ and $N_B$ must be equal to $N_A$ or $1$. If $T_A=T_B$, isequal(A.init,B.init) returns 1 and $N_A=N_B$, then the minus operator will compute for each couple $(t,n)$, with $1\le t\le T_A$ and $1\le n\le N_A$, C.data(t,n)=A.data(t,n)-B.data(t,n). If $N_B$ is equal to $1$ and $N_A>1$, the smaller dseries object (B) is “broadcast” across the larger dseries (A) so that they have compatible shapes, the minus operator will subtract the variable defined in B from each variable in A. If B is a double scalar, then the method minus will subtract B from all the observations/variables in A. If B is a row vector of length $N_A$, then the minus method will subtract B(i) from all the observations of variable i, for $i=1,...,N_A$. If B is a column vector of length $T_A$, then the minus method will subtract B from all the variables.

Example

>> ts0 = dseries(rand(3,2));
>> ts1 = ts0{'Variable_2'};
>> ts0-ts1

ans is a dseries object:

   | Variable_1 | Variable_2
1Y | -0.48853   | 0
2Y | -0.50535   | 0
3Y | -0.32063   | 0

>> ts1

ts1 is a dseries object:

   | Variable_2
1Y | 0.703
2Y | 0.75415
3Y | 0.54729

>> ts1-ts1.data(1)

ans is a dseries object:

   | Variable_2
1Y | 0
2Y | 0.051148
3Y | -0.15572

>> ts1.data(1)-ts1

ans is a dseries object:

   | Variable_2
1Y | 0
2Y | -0.051148
3Y | 0.15572

Method: C = mpower(A, B)¶

Overloads the MATLAB/Octave mpower (^) operator for dseries objects and computes element-by-element power. A is a dseries object with N variables and T observations. If B is a real scalar, then mpower(A,B) returns a dseries object C with C.data(t,n)=A.data(t,n)^C. If B is a dseries object with N variables and T observations then mpower(A,B) returns a dseries object C with C.data(t,n)=A.data(t,n)^C.data(t,n).

Example

>> ts0 = dseries(transpose(1:3));
>> ts1 = ts0^2

ts1 is a dseries object:

   | Variable_1
1Y | 1
2Y | 4
3Y | 9

>> ts2 = ts0^ts0

ts2 is a dseries object:

   | Variable_1
1Y | 1
2Y | 4
3Y | 27

Method: C = mrdivide(A, B)¶

Overloads the MATLAB/Octave mrdivide (/) operator for dseries objects, element by element division (like the ./ MATLAB/Octave operator). If both A and B are dseries objects, they do not need to be defined over the same time ranges. If A and B are dseries objects with $T_A$ and $T_B$ observations and $N_A$ and $N_B$ variables, then $N_A$ must be equal to $N_B$ or $1$ and $N_B$ must be equal to $N_A$ or $1$. If $T_A=T_B$, isequal(A.init,B.init) returns 1 and $N_A=N_B$, then the mrdivide operator will compute for each couple $(t,n)$, with $1\le t\le T_A$ and $1\le n\le N_A$, C.data(t,n)=A.data(t,n)/B.data(t,n). If $N_B$ is equal to $1$ and $N_A>1$, the smaller dseries object (B) is “broadcast” across the larger dseries (A) so that they have compatible shapes. In this case the mrdivide operator will divide each variable defined in A by the variable in B, observation per observation. If B is a double scalar, then mrdivide will divide all the observations/variables in A by B. If B is a row vector of length $N_A$, then mrdivide will divide all the observations of variable i by B(i), for $i=1,...,N_A$. If B is a column vector of length $T_A$, then mrdivide will perform a division of all the variables by B, element by element.

Example

>> ts0 = dseries(rand(3,2))

ts0 is a dseries object:

   | Variable_1 | Variable_2
1Y | 0.72918    | 0.90307
2Y | 0.93756    | 0.21819
3Y | 0.51725    | 0.87322

>> ts1 = ts0{'Variable_2'};
>> ts0/ts1

ans is a dseries object:

   | Variable_1 | Variable_2
1Y | 0.80745    | 1
2Y | 4.2969     | 1
3Y | 0.59235    | 1

Method: C = mtimes(A, B): Overloads the MATLAB/Octave mtimes (*) operator for dseries objects and the Hadammard product (the .* MATLAB/Octave operator). If both A and B are dseries objects, they do not need to be defined over the same time ranges. If A and B are dseries objects with $T_A$ and $_B$ observations and $N_A$ and $N_B$ variables, then $N_A$ must be equal to $N_B$ or $1$ and $N_B$ must be equal to $N_A$ or $1$. If $T_A=T_B$, isequal(A.init,B.init) returns 1 and $N_A=N_B$, then the mtimes operator will compute for each couple $(t,n)$, with $1\le t\le T_A$ and $1\le n\le N_A$, C.data(t,n)=A.data(t,n)*B.data(t,n). If $N_B$ is equal to $1$ and $N_A>1$, the smaller dseries object (B) is “broadcast” across the larger dseries (A) so that they have compatible shapes, mtimes operator will multiply each variable defined in A by the variable in B, observation per observation. If B is a double scalar, then the method mtimes will multiply all the observations/variables in A by B. If B is a row vector of length $N_A$, then the mtimes method will multiply all the observations of variable i by B(i), for $i=1,...,N_A$. If B is a column vector of length $T_A$, then the mtimes method will perform a multiplication of all the variables by B, element by element.

Method: B = nanmean(A[, geometric])¶: Overloads the MATLAB/Octave nanmean function for dseries objects. Returns the mean of each variable in dseries object A ignoring the NaN values. If the second argument is true the geometric mean is computed, otherwise (default) the arithmetic mean is reported.

Method: B = nanstd(A[, geometric])¶: Overloads the MATLAB/Octave nanstd function for dseries objects. Returns the standard deviation of each variable in dseries object A ignoring the NaN values. If the second argument is true the geometric std is computed, default value of the second argument is false.

Method: C = ne(A, B)

Overloads the MATLAB/Octave ne (not equal, ~=) operator. dseries objects A and B must have the same number of observations (say, $T$) and variables ($N$). The returned argument is a $T$ by $N$ matrix of zeros and ones. Element $(i,j)$ of C is equal to 1 if and only if observation $i$ for variable $j$ in A and B are not equal.

Example

>> ts0 = dseries(2*ones(3,1));
>> ts1 = dseries([2; 0; 2]);
>> ts0~=ts1

ans =

  3x1 logical array

   0
   1
   0

Method: B = nobs(A)¶

Returns the number of observations in dseries object A.

Example

>> ts0 = dseries(randn(10));
>> ts0.nobs

ans =

    10

Method: B = onesidedhpcycle(A[, lambda[, init]])¶
Method: onesidedhpcycle_(A[, lambda[, init]])¶: Extracts the cycle component from a dseries A object using a one sided HP filter (with a Kalman filter) and returns a dseries object, B. The default value for lambda, the smoothing parameter, is 1600. By default, if ìnit is not provided, the initial value is based on the first two observations.

Method: B = onesidedhptrend(A[, lambda[, init]])¶
Method: onesidedhptrend_(A[, lambda[, init]])¶: Extracts the trend component from a dseries A object using a one sided HP filter (with a Kalman filter) and returns a dseries object, B. The default value for lambda, the smoothing parameter, is 1600. By default, if ìnit is not provided, the initial value is based on the first two observations.

Method: h = plot(A)¶

Method: h = plot(A, B)

Method: h = plot(A[, ...])

Method: h = plot(A, B[, ...])

Overloads MATLAB/Octave’s plot function for dseries objects. Returns a MATLAB/Octave plot handle, that can be used to modify the properties of the plotted time series. If only one dseries object, A, is passed as argument, then the plot function will put the associated dates on the x-abscissa. If this dseries object contains only one variable, additional arguments can be passed to modify the properties of the plot (as one would do with the MATLAB/Octave’s version of the plot function). If dseries object A contains more than one variable, it is not possible to pass these additional arguments and the properties of the plotted time series must be modified using the returned plot handle and the MATLAB/Octave set function (see example below). If two dseries objects, A and B, are passed as input arguments, the plot function will plot the variables in A against the variables in B (the number of variables in each object must be the same otherwise an error is issued). Again, if each object contains only one variable, additional arguments can be passed to modify the properties of the plotted time series, otherwise the MATLAB/Octave set command has to be used.

Example

Define a dseries object with two variables (named by default Variable_1 and Variable_2):
>> ts = dseries(randn(100,2),'1950Q1');
The following command will plot the first variable in ts:
>> plot(ts{'Variable_1'},'-k','linewidth',2);
The next command will draw all the variables in ts on the same figure:
>> h = plot(ts);
If one wants to modify the properties of the plotted time series (line style, colours, …), the set function can be used (see MATLAB’s documentation):
>> set(h(1),'-k','linewidth',2);
>> set(h(2),'--r');
The following command will plot Variable_1 against exp(Variable_1):
>> plot(ts{'Variable_1'},ts{'Variable_1'}.exp(),'ok');
Again, the properties can also be modified using the returned plot handle and the set function:
>> h = plot(ts, ts.exp());
>> set(h(1),'ok');
>> set(h(2),'+r');

Method: C = plus(A, B): Overloads the MATLAB/Octave plus (+) operator for dseries objects, element by element addition. If both A and B are dseries objects, they do not need to be defined over the same time ranges. If A and B are dseries objects with $T_A$ and $T_B$ observations and $N_A$ and $N_B$ variables, then $N_A$ must be equal to $N_B$ or $1$ and $N_B$ must be equal to $N_A$ or $1$. If $T_A=T_B$, isequal(A.init,B.init) returns 1 and $N_A=N_B$, then the plus operator will compute for each couple $(t,n)$, with $1\le t\le T_A$ and $1\le n\le N_A$, C.data(t,n)=A.data(t,n)+B.data(t,n). If $N_B$ is equal to $1$ and $N_A>1$, the smaller dseries object (B) is “broadcast” across the larger dseries (A) so that they have compatible shapes, the plus operator will add the variable defined in B to each variable in A. If B is a double scalar, then the method plus will add B to all the observations/variables in A. If B is a row vector of length $N_A$, then the plus method will add B(i) to all the observations of variable i, for $i=1,...,N_A$. If B is a column vector of length $T_A$, then the plus method will add B to all the variables.

Method: C = pop(A[, B])

Method: pop_(A[, B])¶

Removes variable B from dseries object A. By default, if the second argument is not provided, the last variable is removed.

Example

>> ts0 = dseries(ones(3,3));
>> ts1 = ts0.pop('Variable_2');

ts1 is a dseries object:

   | Variable_1 | Variable_3
1Y | 1          | 1
2Y | 1          | 1
3Y | 1          | 1

Method: A = projection(A, info, periods)¶

Projects variables in dseries object A. info is is a $n \times 3$ cell array. Each row provides informations necessary to project a variable. The first column contains the name of variable (row char array). the second column contains the name of the method used to project the associated variable (row char array), possible values are 'Trend', 'Constant', and 'AR'. Last column provides quantitative information about the projection. If the second column value is 'Trend', the third column value is the growth factor of the (exponential) trend. If the second column value is 'Constant', the third column value is the level of the variable. If the second column value is 'AR', the third column value is the autoregressive parameter. The variables can be projected with an AR(p) model, if the third column contains a 1×p vector of doubles. The stationarity of the AR(p) model is not tested. The case of the constant projection, using the last value of the variable, is covered with ‘Trend’ and a growth factor equal to 1, or ‘AR’ with an autoregressive parameter equal to one (random walk). This projection routine only deals with exponential trends.

Example

>> data = ones(10,4);
>> ts = dseries(data, '1990Q1', {'A1', 'A2', 'A3', 'A4'});
>> info = {'A1', 'Trend', 1.2; 'A2', 'Constant', 0.0; 'A3', 'AR', .5; 'A4', 'AR', [.4, -.2]};
>> ts.projection(info, 10);

Method: B = qdiff(A)¶

Method: B = qgrowth(A)¶

Method: qdiff_(A)¶

Method: qgrowth_(A)¶

Computes quarterly differences or growth rates.

Example

>> ts0 = dseries(transpose(1:4),'1950Q1');
>> ts1 = ts0.qdiff()

ts1 is a dseries object:

       | Variable_1
1950Q1 | NaN
1950Q2 | 1
1950Q3 | 1
1950Q4 | 1

>> ts0 = dseries(transpose(1:6),'1950M1');
>> ts1 = ts0.qdiff()

ts1 is a dseries object:

        | Variable_1
1950M1  | NaN
1950M2  | NaN
1950M3  | NaN
1950M4  | 3
1950M5  | 3
1950M6  | 3

Method: C = remove(A, B)

Method: remove_(A, B)¶

Alias for the pop method with two arguments. Removes variable B from dseries object A.

Example

>> ts0 = dseries(ones(3,3));
>> ts1 = ts0.remove('Variable_2');

ts1 is a dseries object:

   | Variable_1 | Variable_3
1Y | 1          | 1
2Y | 1          | 1
3Y | 1          | 1
A shorter syntax is available: remove(ts,'Variable_2') is equivalent to ts{'Variable_2'} = [] ([] can be replaced by any empty object). This alternative syntax is useful if more than one variable has to be removed. For instance:
ts{'Variable_@2,3,4@'} = [];
will remove Variable_2, Variable_3 and Variable_4 from dseries object ts (if these variables exist). Regular expressions cannot be used but implicit loops can.

Method: B = rename(A, oldname, newname)¶

Method: rename_(A, oldname, newname)¶

Rename variable oldname to newname in dseries object A. Returns a dseries object. If more than one variable needs to be renamed, it is possible to pass cells of char arrays as second and third arguments.

Example

>> ts0 = dseries(ones(2,2));
>> ts1 = ts0.rename('Variable_1','Stinkly')

ts1 is a dseries object:

   | Stinkly | Variable_2
1Y | 1       | 1
2Y | 1       | 1

Method: C = rename(A, newname)¶

Method: rename_(A, newname)

Replace the names in A with those passed in the cell string array newname. newname must have the same number of elements as dseries object A has variables. Returns a dseries object.

Example

>> ts0 = dseries(ones(2,3));
>> ts1 = ts0.rename({'TinkyWinky','Dipsy','LaaLaa'})

ts1 is a dseries object:

   | TinkyWinky | Dipsy | LaaLaa
1Y | 1          | 1     | 1
2Y | 1          | 1     | 1

Method: A = resetops(A, ops)¶: Redefine ops member.

Method: A = resetags(A, ops)¶: Redefine tags member.

Method: B = round(A[, n])¶

Method: round_(A[, n])¶

Rounds to the nearest decimal or integer. n is the precision parameter (number of decimals), default value is 0 meaning that that by default the method rounds to the nearest integer.

Example

>> ts = dseries(pi)

ts is a dseries object:

   | Variable_1
1Y | 3.1416

>> ts.round_();
>> ts

ts is a dseries object:

   | Variable_1
1Y | 3

Method: save(A, basename[, format])¶

Overloads the MATLAB/Octave save function and saves dseries object A to disk. Possible formats are mat (this is the default), m (MATLAB/Octave script), and csv (MATLAB binary data file). The name of the file without extension is specified by basename.

Example

>> ts0 = dseries(ones(2,2));
>> ts0.save('ts0', 'csv');

The last command will create a file ts0.csv with the following content:

,Variable_1,Variable_2
1Y,               1,               1
2Y,               1,               1

To create a MATLAB/Octave script, the following command:

>> ts0.save('ts0','m');

will produce a file ts0.m with the following content:

% File created on 14-Nov-2013 12:08:52.

FREQ__ = 1;
INIT__ = ' 1Y';

NAMES__ = {'Variable_1'; 'Variable_2'};
TEX__ = {'Variable_{1}'; 'Variable_{2}'};
OPS__ = {};
TAGS__ = struct();

Variable_1 = [
              1
              1];

Variable_2 = [
              1
              1];

The generated (csv, m, or mat) files can be loaded when instantiating a dseries object as explained above.

Method: B = set_names(A, s1, s2, ...)¶

Renames variables in dseries object A and returns a dseries object B with new names s1, s2, … The number of input arguments after the first one (dseries object A) must be equal to A.vobs (the number of variables in A). s1 will be the name of the first variable in B, s2 the name of the second variable in B, and so on.

Example

>> ts0 = dseries(ones(1,3));
>> ts1 = ts0.set_names('Barbibul',[],'Barbouille')

ts1 is a dseries object:

   | Barbibul | Variable_2 | Barbouille
1Y | 1        | 1          | 1

Method: [T, N ] = size(A[, dim])¶

Overloads the MATLAB/Octave’s size function. Returns the number of observations in dseries object A (i.e. A.nobs) and the number of variables (i.e. A.vobs). If a second input argument is passed, the size function returns the number of observations if dim=1 or the number of variables if dim=2 (for all other values of dim an error is issued).

Example

>> ts0 = dseries(ones(1,3));
>> ts0.size()

ans =

     1     3

Method: B = std(A[, geometric])¶: Overloads the MATLAB/Octave std function for dseries objects. Returns the standard deviation of each variable in dseries object A. If the second argument is true the geometric standard deviation is computed (default value of the second argument is false).

Method: B = subsample(A, d1, d2)¶

Returns a subsample, for periods between dates d1 and d2. The same can be achieved by indexing a dseries object with a dates object, but the subsample method is easier to use programmatically.

Example

>> o = dseries(transpose(1:5));
>> o.subsample(dates('2y'),dates('4y'))

ans is a dseries object:

   | Variable_1
2Y | 2
3Y | 3
4Y | 4

Method: A = tag(A, a[, b, c])¶

Add a tag to a variable in dseries object A.

Example

>> ts = dseries(randn(10, 3));
>> tag(ts, 'type');             % Define a tag name.
>> tag(ts, 'type', 'Variable_1', 'Stock');
>> tag(ts, 'type', 'Variable_2', 'Flow');
>> tag(ts, 'type', 'Variable_3', 'Stock');

Method: B = tex_rename(A, name, newtexname)¶

Method: B = tex_rename(A, newtexname)

Method: tex_rename_(A, name, newtexname)¶

Method: tex_rename_(A, newtexname)

Redefines the tex name of variable name to newtexname in dseries object A. Returns a dseries object.

With only two arguments A and newtexname, it redefines the tex names of the A to those contained in newtexname. Here, newtexname is a cell string array with the same number of entries as variables in A.

Method: B = uminus(A)

Overloads uminus (-, unary minus) for dseries object.

Example

>> ts0 = dseries(1)

ts0 is a dseries object:

   | Variable_1
1Y | 1

>> ts1 = -ts0

ts1 is a dseries object:

   | Variable_1
1Y | -1

Method: D = vertcat(A, B[, ...])

Overloads the vertcat MATLAB/Octave method for dseries objects. This method is used to append more observations to a dseries object. Returns a dseries object D containing the variables in dseries objects passed as inputs. All the input arguments must be dseries objects with the same variables defined on different time ranges.

Example

>> ts0 = dseries(rand(2,2),'1950Q1',{'nifnif';'noufnouf'});
>> ts1 = dseries(rand(2,2),'1950Q3',{'nifnif';'noufnouf'});
>> ts2 = [ts0; ts1]

ts2 is a dseries object:

       | nifnif   | noufnouf
1950Q1 | 0.82558  | 0.31852
1950Q2 | 0.78996  | 0.53406
1950Q3 | 0.089951 | 0.13629
1950Q4 | 0.11171  | 0.67865

Method: B = vobs(A)¶

Returns the number of variables in dseries object A.

Example

>> ts0 = dseries(randn(10,2));
>> ts0.vobs

ans =

    2

Method: B = ydiff(A)¶
Method: B = ygrowth(A)¶
Method: ydiff_(A)¶
Method: ygrowth_(A)¶: Computes yearly differences or growth rates.

6.3. X-13 ARIMA-SEATS interface¶

Dynare class: x13¶

The x13 class provides a method for each X-13 command as documented in the X-13 ARIMA-SEATS reference manual (x11, automdl, estimate, …), options can then be passed by key/value pairs. The x13 class has 22 members:

Members

y – dseries object with a single variable.
x – dseries object with an arbitrary number of variables (to be used in the REGRESSION block).
arima – structure containing the options of the ARIMA model command.
automdl – structure containing the options of the ARIMA model selection command.
regression – structure containing the options of the Regression command.
estimate – structure containing the options of the estimation command.
transform – structure containing the options of the transform command.
outlier – structure containing the options of the outlier command.
forecast – structure containing the options of the forecast command.
check – structure containing the options of the check command.
x11 – structure containing the options of the X11 command.
force – structure containing the options of the force command.
history – structure containing the options of the history command.
metadata – structure containing the options of the metadata command.
identify – structure containing the options of the identify command.
pickmdl – structure containing the options of the pickmdl command.
seats – structure containing the options of the seats command.
slidingspans – structure containing the options of the slidingspans command.
spectrum – structure containing the options of the spectrum command.
x11regression – structure containing the options of the x11Regression command.
results – structure containing the results returned by x13.
commands – cell array containing the list of commands.

All these members are private. The following constructors are available:

Constructor: x13(y): Instantiates an x13 object with dseries object y. The dseries object passed as an argument must contain only one variable, the one we need to pass to X-13.

Constructor: x13(y, x): Instantiates an x13 object with dseries objects y and x. The first dseries object passed as an argument must contain only one variable, the second dseries object contains the exogenous variables used by some of the X-13 commands. Both objects must be defined on the same time span.

The Following methods allow to set sequence of X-13 commands, write an .spc file and run the X-13 binary:

Method: A = arima(A, key, value[, key, value[, [...]]])¶: Interface to the arima command, see the X-13 ARIMA-SEATS reference manual. All the options must be passed by key/value pairs.

Method: A = automdl(A, key, value[, key, value[, [...]]])¶: Interface to the automdl command, see the X-13 ARIMA-SEATS reference manual. All the options must be passed by key/value pairs.

Method: A = regression(A, key, value[, key, value[, [...]]])¶: Interface to the regression command, see the X-13 ARIMA-SEATS reference manual. All the options must be passed by key/value pairs.

Method: A = estimate(A, key, value[, key, value[, [...]]])¶: Interface to the estimate command, see the X-13 ARIMA-SEATS reference manual. All the options must be passed by key/value pairs.

Method: A = transform(A, key, value[, key, value[, [...]]])¶: Interface to the transform command, see the X-13 ARIMA-SEATS reference manual. All the options must be passed by key/value pairs.

Method: A = outlier(A, key, value[, key, value[, [...]]])¶: Interface to the outlier command, see the X-13 ARIMA-SEATS reference manual. All the options must be passed by key/value pairs.

Method: A = forecast(A, key, value[, key, value[, [...]]])¶: Interface to the forecast command, see the X-13 ARIMA-SEATS reference manual. All the options must be passed by key/value pairs.

Method: A = check(A, key, value[, key, value[, [...]]])¶: Interface to the check command, see the X-13 ARIMA-SEATS reference manual. All the options must be passed by key/value pairs.

Method: A = x11(A, key, value[, key, value[, [...]]])¶: Interface to the x11 command, see the X-13 ARIMA-SEATS reference manual. All the options must be passed by key/value pairs.

Method: A = force(A, key, value[, key, value[, [...]]])¶: Interface to the force command, see the X-13 ARIMA-SEATS reference manual. All the options must be passed by key/value pairs.

Method: A = history(A, key, value[, key, value[, [...]]])¶: Interface to the history command, see the X-13 ARIMA-SEATS reference manual. All the options must be passed by key/value pairs.

Method: A = metadata(A, key, value[, key, value[, [...]]])¶: Interface to the metadata command, see the X-13 ARIMA-SEATS reference manual. All the options must be passed by key/value pairs.

Method: A = identify(A, key, value[, key, value[, [...]]])¶: Interface to the identify command, see the X-13 ARIMA-SEATS reference manual. All the options must be passed by key/value pairs.

Method: A = pickmdl(A, key, value[, key, value[, [...]]])¶: Interface to the pickmdl command, see the X-13 ARIMA-SEATS reference manual. All the options must be passed by key/value pairs.

Method: A = seats(A, key, value[, key, value[, [...]]])¶: Interface to the seats command, see the X-13 ARIMA-SEATS reference manual. All the options must be passed by key/value pairs.

Method: A = slidingspans(A, key, value[, key, value[, [...]]])¶: Interface to the slidingspans command, see the X-13 ARIMA-SEATS reference manual. All the options must be passed by key/value pairs.

Method: A = spectrum(A, key, value[, key, value[, [...]]])¶: Interface to the spectrum command, see the X-13 ARIMA-SEATS reference manual. All the options must be passed by key/value pairs.

Method: A = x11regression(A, key, value[, key, value[, [...]]])¶: Interface to the x11regression command, see the X-13 ARIMA-SEATS reference manual. All the options must be passed by key/value pairs.

Method: print(A[, basefilename])¶: Prints an .spc file with all the X-13 commands. The optional second argument is a row char array specifying the name (without extension) of the file.

Method: run(A)¶: Calls the X-13 binary and run the previously defined commands. All the results are stored in the structure A.results. When it makes sense these results are saved in dseries objects (e.g. for forecasts or filtered variables).

Example

>> ts = dseries(rand(100,1),'1999M1');
>> o = x13(ts);

>> o.x11('save','(d11)');
>> o.automdl('savelog','amd','mixed','no');
>> o.outlier('types','all','save','(fts)');
>> o.check('maxlag',24,'save','(acf pcf)');
>> o.estimate('save','(mdl est)');
>> o.forecast('maxlead',18,'probability',0.95,'save','(fct fvr)');

>> o.run();

6.4. Miscellaneous¶

6.4.1. Time aggregation¶

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 bi-annual time series object.

dseries2Y converts daily, monthly, quarterly, or bi-annual time series object to annual time series object.

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:

arithmetic-average (for growth rates),

geometric-average (for growth factors),

sum (for flow variables), and

end-of-period (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, 'end-of-period')

ds is a dseries object:

      | Variable_1
2000Y | 0.60889

6.4.2. Create time series with a univariate model¶

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(t-1)+e(t)-.4*e(t-1);
>> 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.