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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
  • frequencyof(x::MIT): returns <: Frequency assosicated wtih 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