BVAR: fred_transform – R documentation

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fred_transform

FRED transformation and subset helper

Description

Apply transformations given by FRED-MD or FRED-QD and generate rectangular subsets. See fred_qd for information on data and the Details section for information on the transformations. Call without arguments to retrieve available codes / all FRED suggestions.

Usage

fred_transform(
  data,
  type = c("fred_qd", "fred_md"),
  codes,
  na.rm = TRUE,
  lag = 1L,
  scale = 100
)

fred_code(vars, type = c("fred_qd", "fred_md"), table = FALSE)

Arguments

`data`	A `data.frame` with FRED-QD or FRED-MD time series. The column names are used to find the correct transformation.
`type`	Character scalar. Whether data stems from the FRED-QD or the FRED-MD database.
`codes`	Integer vector. Transformation code(s) to apply to data. Overrides automatic lookup of transformation codes.
`na.rm`	Logical scalar. Whether to subset to rows without any `NA` values. A warning is thrown if rows are non-sequential.
`lag`	Integer scalar. Number of lags to apply when taking differences. See `diff`.
`scale`	Numeric scalar. Scaling to apply to log differences.
`vars`	Character vector. Names of the variables to look for.
`table`	Logical scalar. Whether to return a table of matching transformation codes instead of just the codes.

Details

FRED-QD and FRED-MD include a transformation code for every variable. All codes are provided in system.file("fred_trans.csv", package = "BVAR"). The transformation codes are as follows:

1 - no transformation;
2 - first differences - Delta x;
3 - second differences - Delta2 x;
4 - log transformation - log x;
5 - log differences - Delta log x;
6 - log second differences - Delta2 log x;
7 - percent change differences - Delta x / lag-x - 1;

Note that the transformation codes of FRED-MD and FRED-QD may differ for the same series.

Value

fred_transform returns a data.frame object with applied transformations. fred_code returns transformation codes, or a data.frame of matching transformation codes.

Examples

# Transform a subset of FRED-QD
fred_transform(fred_qd[, c("GDPC1", "INDPRO", "FEDFUNDS")])

# Get info on transformation codes for unemployment variables
fred_code("UNRATE", table = TRUE)

# Get the transformation code for GDPC1
fred_code("GDPC1", type = "fred_qd")

# Transform all of FRED-MD
## Not run: 
fred_transform(fred_md, type = "fred_md")

## End(Not run)

BVAR

Hierarchical Bayesian Vector Autoregression

v1.0.1

GPL-3 | file LICENSE

Authors

Nikolas Kuschnig [aut, cre] (<https://orcid.org/0000-0002-6642-2543>), Lukas Vashold [aut] (<https://orcid.org/0000-0002-3562-3414>), Michael McCracken [dtc], Serena Ng [dtc]

Initial release

2020-09-26