aggData

Purpose

Aggregates time series data from higher to lower frequency.

Format

x_new = aggData(xt, st_freq, end_freq, method)
Parameters:
  • xt (NxK matrix) – data.
  • st_freq (string) – starting frequency of data: “M” for monthly or “Q” for quarterly.
  • end_freq (string) – ending frequency of data: “M” for monthly or “Q” for quarterly.
  • method (string) – method of aggregation, “B” for beginning of period, “E” for end of period, “AVE” for moving average.
Returns:

x_new (matrix) – aggregated data.

Example

new;
cls;
library tsmt;

// Real GNP data
// Seasonally adjusted
fname = getGAUSSHome() $+ "pkgs/tsmt/examples/gnp_4790.csv";
gnp = loadd(fname, "real_gnp");

// Aggregate the gnp data from Q to A using end-of-quarter
gnp_A_end = AggData(gnp, "Q", "Y", "E");

The first five values of gnp and gnp_A_end are:

gnp[1:5]
1056.50
1063.20
1067.10
1080.00
1086.80

gnp_A_end[1:5]
1080.00
1125.50
1103.30
1260.20
1356.00

Library

tsmt

Source

aggregatedata.src