Apr 2009

Excel Macro ROG (Rates-of-Growth)

Description and User Instructions

Roberto Lpez Pavn Agustn Maravall Banco de Espaa

1. Description
For short-term monitoring, rates-of-growth (RG) are usually of more use to the analyst. ROG is a macro that computes a battery of rates-of-growth of the original series, SA series, and trend-cycle component, useful for assessing the present situation and for short-term forecasting. The rates considered are the following.

SHORT-TERM ASSESSMENT Rates-of-growth considered: Last observed month: period t. (Assume, for example, t corresponds to a May month.) 1. 2. R1: RA: RG for last month =

zt zt
1

1 100 .

Accumulated RG during last year (over first 5 months) =

zt zt
5

1 100 .

3.

R12NC: (Annual RG not centered) RG over the last 12 months =

zt zt
4. R12C:
12

1 100 .

(Annual RG centered) Present rate of annual growth (last 6 observed periods and next 6 forecasts) =
zt (6) zt
6

1 100 .

5.

R1F:

Forecast of RG for next month =

z t ( 1) zt 1 100 .

1 100 .

6.

RPY:

RG for present year =

z t (7) zt
5

7.

R12F:

RG for the next 12-month period =

z t ( 12 ) zt

1 100 .

z t ( j ) = j-periods ahead forecast of variable z made at period t

Et zt j .

PREVIOUS YEAR

PRESENT YEAR

NEXT YEAR

LAST OBSERVATION

D J

May

D J

May

D J

May

R1 RA R12NC R12C R1F RPY R12F IN SAMPLE FORECASTS

RATES OF GROWTH (in %) 1. Recent Assessment. Example: Series 3 (Private Consumption) Original series 4.82 --Accumulated in present year (RA) 17.23 --Growth for the last 12 months 5.05 (R12NC) Present rate of annual --growth, 5.37 (2.87) Trend-cycle -0.21 (0.31) 4.14 (0.72) 4.99 (0.23) 6.26 (2.62) SA series -0.80 (0.46) 3.99 (0.74) 4.98 (0.20) 6.14 (2.78)

Rate of growth Last month (R1)

centered with forecasts (R12C)

2.

Forecasts -5.4 (1.4) 0.00 (0.45) 5.77 (2.8) 2.89 (3.6) 0.27 (1.00) 5.91 (3.0) 3.17 (3.8)

One-month ahead (R1F)

Present year (RPY)

6.60 (3.1)

Next 12 months (R12F)

2.45 (3.9)

In parenthesis: SD of revision error.

Note 1: In this table, because the true SA series and Trend-cycle will never be observed, concern is with the distance between their preliminary estimators and the historical ones (that will remain as final), that is, the revision error. Thus theoretical estimation error in these historical estimators is of little applied interest and, in the table, ignored. Note 2: Standard deviations are computed using linear approximations, under the standard Box-Jenkins assumption of an infinite past (see Section 8.9 in Gmez and Maravall, 2001). Martin and Bell (2002), and McElroy and Gagnon (2006), have shown that the SE obtained with this later assumption can be misleading (though, in general, still moderate) for short time series and for some close to non-invertible models.

2. User Instructions
Main window:

Inputs: Input Files: All are standard output files from a TSW application:

Tables: Seats File:

tables.out from TSW\OUTPUT\SEATS and saved in Excel. sgeneral.m (case Iter > 0) or summarys.txt (case Iter = 0). Both are available in TSW\OUTPUT\SEATS.

Psie.out: ArmaPar File:

psie.out (available in TSW\OUTPUT\SEATS). tarmapar.m (case Iter > 0) or summaryt.txt (case Iter = 0). Available in TSW\OUTPUT\TRAMO.

Series File:

TSW input .xls file with the treated series. (Preferably, the format should be the classic one; see file New TSW Formats.xls)

Parameters:

NZ: Nper: Periodicity: # output decimals

Number of observations in series. Starting period (ex., 3 if series start in March). Number of observations per year.

Processing: A) Manual: A.1) The files for Tables, Seats, Psie, ArmaPar, and Series can be entered by clicking in the associated buttons in the main window and selecting the appropriate file. For example:

The file for Tables is the only one always required. If the Seats, Psie, and ArmaPar files are not entered, the macro will compute point estimates of the rates of growth. When these three files are entered, SE of these estimates are also provided.

If no series file is entered, the parameters NZ, NPER and PERIODICITY should be entered. In the case of a set with several series, they will be shared by all series.

A.2) Execution Clicking on the RUN button, the output file ratesGrowth.xls with the macro results is obtained. If the file already exists, the user will have three options:

The following window will indicate that execution has been succesfully completed:

B) Automatic. If the files that should enter the macro correspond to the most recent application of TSW, one only needs to enter the Series input file for TSW and click on RUN. The macro will find the files automatically and will ask for confirmation.

C) Sequential running of TSW and ROG. Clicking on the button TSW in the main window of ROG, TSW is first executed.

Output: For each series in the set, a sheet will be generated (as in table below) with the same name as the series.