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Grocer >> Time series > ts_extrap

ts_extrap

Performs the extrapolation of a time series

CALLING SEQUENCE

tsout=ts_extrap(tsin,dats,type_extrap,vals)

PARAMETERS

Input

* tsin = a ts

* dats = the bounds over which the extrapolation is made

* type_extrap = a string, the way the extrapolation will be made:

   - 'level' if it is done by entering its values ;

   - 'growth rate' if it is done by applying growth rate to the previous value,

   - 'delta rate' if it is done by adding values to the previous one,

   - 'series' together with the name of a series in the ts applies the growth rates of the reference series to the extrapolated one, over the chosen time period

* vals = either a scalar or a vector of the size of the bounds, providing the value(s) used for extrapolation or the number of periods used to calculate the average growth rate if type_extrap has been set to 'av growth rate'

Output

* tsout = the original ts that has been extrapolated

DESCRIPTION

Performs the extrapolation of a time series.

EXAMPLE

global GROCERDIR ;
// load annual French GDP series from 1949 to 2010
load(GROCERDIR+'\data\Fra_GDP.dat')
// extrapolate the ts until year 2015 with values that start from the 2010 value (1775.9922) 
// and grow at a 1% rate (check the result running growthr(GDP_new))
GDP_new=ts_extrap(Fra_GDP,'2015a','level',1775.9922*cumprod(1.01*ones(5,1)))
// extrapolate the ts a at predefined growth rates (check the result by running: growthr(GDP_new))
GDP_new=ts_extrap(Fra_GDP,'2015a','growth rate',[1.02;1.01;1.015;1.015;1.02])
// extrapolate the ts adding 15 at each date (check the result by running: delts(GDP_new))
GDP_new=ts_extrap(Fra_GDP,'2015a','delta rate',15*ones(5,1))
// load the Irish GDP from 1981 to 2016 and extrapolate Fench GDP until year
// with the Irish GDP growth rate (ok it does not make much sense on economic grounds!)
// (check the result by running: growthr(GDP_new)-growthr(IRE_GDP))
load(GROCERDIR+'\data\ire_gdp.dat')
GDP_new=ts_extrap(Fra_GDP,'2015a','series',IRE_GDP)

AUTHOR

Éric Dubois 2018-2019 - Tom Coral 2019

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