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Introduction

TimeSeriesEcon — Module
TimeSeriesEcon

This package is part of the StateSpaceEcon ecosystem. TimeSeriesEcon.jl provides functionality to work with low-Frequency discrete macroeconomic time-series data.

Frequencies (abstract type):

  • Unit
  • Monthly
  • Quarterly
  • Yearly

Types:

  • MIT{Frequency} (aka "Moment In Time")
    • a primitive type denoting monthly, quarterly, and yearly dates
  • TSeries{Frequency}
    • an AbstractVector that can be indexed using MIT

Functions:

  • MIT Constructors/Functions
    • mm(year::Int, period::Int): returns a monthly MIT type instance
    • qq(year::Int, period::Int): returns a quarterly MIT type instance
    • yy(year::Int): returns a yearly MIT type instance
    • ii(x::Int): returns a unit MIT type instance
    • year(x::MIT): returns a Int64 year value associated with x
    • period(x::MIT): returns a Int64 period value associated with x
  • Functions operating on TSeries
    • mitrange(x::TSeries): returns a UnitRange{MIT{Frequency}} for the given x
    • firstdate(x::TSeries): returns MIT{Frequency} first date associated with x
    • lastdate(x::TSeries): returns MIT{Frequency} last date associated with x
    • ppy(x::TSeries): returns the number of periods per year for x::TSeries. (ppy also accepts x::MIT and x::Frequency)
    • shift(x::TSeries, i::Int64): shifts the dates of x by firstdate(x) - i
    • shift!: in-place version of shift
    • pct(x::TSeries, shift_value::Int64; islog::Bool = false): calculates percent rate of change of x::TSeries
    • apct(x::TSeries, islog::Bool = false): calculates annualized percent rate of change of x::TSeries
    • nanrm!(x::TSeries, type::Symbol=:both): removes NaN from x::TSeries

Index