MacroTrans

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CharlieEVIEWS
Posts: 202
Joined: Tue Jul 17, 2012 9:47 am

MacroTrans

Postby CharlieEVIEWS » Thu May 28, 2015 9:51 am

This is a thread to discuss the MacroTrans add-in. The addin operates on group objects from either the command line or group proc, automatically adjusting group members (series) one at a time in convention with the prominent macroeconometric literature. Designed for quarterly or monthly workfiles, it provides options on seasonal adjustment, the inclusion of interest/discount rates, a choice of unit root tests, and logarithmic transformations. It is designed to pre-processes series for 'big data' modelling (i.e. factors/LBVARs/combination algorithms), although it can also be used for smaller, 'medium' sized models. If you have any questions, bugs, or requests for extensions (e.g filtering) please post below and I will endeavour to answer them as quickly as possible.

Anyango
Posts: 2
Joined: Tue Jun 16, 2015 11:04 am

Re: MacroTrans

Postby Anyango » Tue Jun 16, 2015 11:11 am

Hi Charlie. I am using the Macro Trans software. I am only interested in the seasonal adjustment, could you please explain why we need the upper bound on the rate, because I don’t think I need to use the tool now. Thanks

CharlieEVIEWS
Posts: 202
Joined: Tue Jul 17, 2012 9:47 am

Re: MacroTrans

Postby CharlieEVIEWS » Wed Jun 17, 2015 9:43 am

Hi Anyango! This is a great question and one I anticipated. The answer is because in a lot of the larger macro-panel style datasets that this add-in was designed to be used in, they will usually be series such as interest rates, bond yields, or similar. In these instances, typically, you dont want to be taking logarithms (they would be a 1 or a 2 in the T-Code notation of dataset appendices typically seen in this sub-field of macroeconometrics).

If you want to seasonally adjust only, I would recommend the original GroupX12 addin: http://www.eviews.com/Addins/GroupX12.aipz, or alternatively, you could just rip out part of the MacroTrans code that you need and run it in the program window, if you preferred!

Charlie

CharlieEVIEWS
Posts: 202
Joined: Tue Jul 17, 2012 9:47 am

Re: MacroTrans

Postby CharlieEVIEWS » Wed Jun 17, 2015 9:53 am

Alternatively, you could use this code below which I just knocked up as an example if you wanted to write your own.... :D

Code: Select all

wfcreate q 1975q1 2000q1
genr x = 5+@trend+5*@nrnd
genr y = 5+@trend+5*@nrnd
genr z = 5+@trend+5*@nrnd
%adjgroup = "x y z"
group seasadjust {%adjgroup}
for !i=1 to seasadjust.@count
   %name = seasadjust.@seriesname(!i)
   {%name}.x12
next


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