Frequency Conversion and Databases (external and internal)

[fmramos]

Hi all!

I have EcoWin and EViews Enterprise. A good combination to manipulate databases.

I'm creating some .prg to get data from EW databases and store them to my own database. Usually daily data.

Using EV, I often link monthly workfiles with daily data, asking for the average. I set this as standard in EV.

And there's the problem (probably): EV gets always the last observations (several times not available) instead of the monthly average, even this standard set as default at options menu. I always have to set 'average' at the series link properties to manually convert and so, type 'wfrefresh'.

Its a small bug or I can't really set this (taking averages) as default to get outside wf1 files data?

Tks in advance, Fabio

[EViews Jason]

Correct me where I am wrong, but you have a database with several daily series. In EViews you already have an open monthly workfile and under the Options->General Options->Series and Alphas->Frequency conversion settings, you have the High to Low freq conversion method set to Average observations.

When you 'copy' the series name in the database window and then 'paste special' into the workfile window, the listed freq conversion method should be 'Specified in series'. Are you creating your database link the same way? If not, how?

There should also only be 1 value for the monthly observation. So I am unclear on your statement "EV gets always the last observations (several times not available)".

It may also be helpful if you can specify an example series which has the problem.

[fmramos]

Sorry Jason. Language problems.

I made a .prg to get some daily data from Ecowin. I send this daily obs to a EViews personal database. So, in a wf1 monthly file I link series (eg. crbm=database::crbd). crbm would be series converted to the mean of the daily data and crbd is the daily data at the database.

The problem is that even with 'average obs' set at options, I always get the last day of the month. Only after changing at series options the link of 'average' instead of 'EV default' (and after typing wfrefresh) I get the mean of the daily data. Simplifying, EV don't automatically converts daily data to monthly average.

I hope I could explain a little better.

Tks in advance,

Fabio

[EViews Gareth]

We can't replicate this. I believe what you're saying is that you're doing something akin to this:

Code: Select all

create(wf=dailywf) d5 1990 2000 series daily = @trend dbcreate test store daily close dailywf create(wf=monthlywf) m 1990 2000 series dailym = test::daily fetch(link) daily

With your global setting equal to "average observations" for High to Low frequency conversion.

When I run that program both the resultant "daily" and "dailym" have the correct average values, not the "last" values.

[fmramos]

Yep. Its almost the same kind of code. Well... So, I'll see here if the problem is restricted to EcoWin (or open sources as Fed. St. Louis x internal databases). Tks.

[fmramos]

I checked. Probably is a problem restricted to external databases.

My EV is set to get average from daily to monthly conversion.

I created a WF monthly. So, I copied as link the series "dexbzus" (Brazilian Real x USD; daily) from FRED (open database available to enterprise users) to my monthly WF1 file. I got several "NA" for each month. Maybe cause trading day or not at the last day of the month.

So, I opened the link and set manually 'average' from conversion menu. Then, I asked for refresh to get the series converted.

[EViews Jason]

Fabio,

I still cant replicate the problem. Try the following:

Code: Select all

dbopen(t=fred) create(wf=monthlywf) m 1995 2010 series dailym = fred::dexbzus

My returned values are:
1995M01 0.8461
1995M02 0.8412
1995M03 0.8905
1995M04 0.9080
1995M05 0.8975
1995M06 0.9137
1995M07 0.9288
1995M08 0.9413

Also please post an example of your code if you are getting different results.

[fmramos]

I got it. Tks a lot.

The problem was the option "propagate NAs" just bellow the "Average" option at Frequency Conversion Menu. The option was set. I've changed it and now I got the correct values.

Fabio