* LIV_actuals_xls_p_08May.prg on 5/14/2008

* Get Alternative Real-Time Data for GDP Inflation
* Need 5 quarter actuals, not 4
* Calculate Growth Rates
* Fill holes
* Construct actuals
* Write actuals to Excel file
*    May 2008 change: annualize the inflation rate, don't do 5 quarters!


*****************************************************************************
*                                                                           *
* Notes:                                                                    *
*                                                                           *
*                                                                           *
*                                                                           *
*                                                                           *
*****************************************************************************


cal 1947 1 4
alloc 0 2010:4

*  set some parameters
*       send = last observation date in last vintage
*       vend = date of last vintage
*       vtot = number of vintages

compute send = 2007:4
compute vend = send + 1
compute vtot = 170

open data   c:\data\RTDSM_p.xls
data(format=xls,org=obs) 1947:1 send      $
                             P65Q4   $
  P66Q1    P66Q2    P66Q3    P66Q4   $
  P67Q1    P67Q2    P67Q3    P67Q4   $
  P68Q1    P68Q2    P68Q3    P68Q4   $
  P69Q1    P69Q2    P69Q3    P69Q4   $
  P70Q1    P70Q2    P70Q3    P70Q4   $
  P71Q1    P71Q2    P71Q3    P71Q4   $
  P72Q1    P72Q2    P72Q3    P72Q4   $
  P73Q1    P73Q2    P73Q3    P73Q4   $
  P74Q1    P74Q2    P74Q3    P74Q4   $
  P75Q1    P75Q2    P75Q3    P75Q4   $
  P76Q1    P76Q2    P76Q3    P76Q4   $
  P77Q1    P77Q2    P77Q3    P77Q4   $
  P78Q1    P78Q2    P78Q3    P78Q4   $
  P79Q1    P79Q2    P79Q3    P79Q4   $
  P80Q1    P80Q2    P80Q3    P80Q4   $
  P81Q1    P81Q2    P81Q3    P81Q4   $
  P82Q1    P82Q2    P82Q3    P82Q4   $
  P83Q1    P83Q2    P83Q3    P83Q4   $
  P84Q1    P84Q2    P84Q3    P84Q4   $
  P85Q1    P85Q2    P85Q3    P85Q4   $
  P86Q1    P86Q2    P86Q3    P86Q4   $
  P87Q1    P87Q2    P87Q3    P87Q4   $
  P88Q1    P88Q2    P88Q3    P88Q4   $
  P89Q1    P89Q2    P89Q3    P89Q4   $
  P90Q1    P90Q2    P90Q3    P90Q4   $
  P91Q1    P91Q2    P91Q3    P91Q4   $
  P92Q1    P92Q2    P92Q3    P92Q4   $
  P93Q1    P93Q2    P93Q3    P93Q4   $
  P94Q1    P94Q2    P94Q3    P94Q4   $
  P95Q1    P95Q2    P95Q3    P95Q4   $
  P96Q1    P96Q2    P96Q3    P96Q4   $
  P97Q1    P97Q2    P97Q3    P97Q4   $
  P98Q1    P98Q2    P98Q3    P98Q4   $
  P99Q1    P99Q2    P99Q3    P99Q4   $
  P00Q1    P00Q2    P00Q3    P00Q4   $
  P01Q1    P01Q2    P01Q3    P01Q4   $
  P02Q1    P02Q2    P02Q3    P02Q4   $
  P03Q1    P03Q2    P03Q3    P03Q4   $
  P04Q1    P04Q2    P04Q3    P04Q4   $
  P05Q1    P05Q2    P05Q3    P05Q4   $
  P06Q1    P06Q2    P06Q3    P06Q4   $
  P07Q1    P07Q2    P07Q3    P07Q4   $
  P08Q1                                 ;* change all vintage names

do v = 1965:4, vend

    compute [label]    vintage1  = %datelabel(v)
    compute [integer]  vintage2  = v - 1965:3

/*
    if v.eq.1965:4
    {
    display @10  'Vintage Index'   @25 'Vintage Date'
    }
    display @10   vintage2         @25 vintage1
*/

end do v





****************************************************
*                                                  *
* Part 1. Index the Vintage and Create             *
*         Annualized Qtr-Over-Qtr Growth Rates     *
*                                                  *
****************************************************
compute [integer] i = 1
declare series z

declare vector[series] x(vtot) dxq(vtot) dxq5(vtot)
declare vector[series] rev1_dxq(vtot) rev1_dxq5(vtot)

dofor z =                                     $
                             P65Q4   $
  P66Q1    P66Q2    P66Q3    P66Q4   $
  P67Q1    P67Q2    P67Q3    P67Q4   $
  P68Q1    P68Q2    P68Q3    P68Q4   $
  P69Q1    P69Q2    P69Q3    P69Q4   $
  P70Q1    P70Q2    P70Q3    P70Q4   $
  P71Q1    P71Q2    P71Q3    P71Q4   $
  P72Q1    P72Q2    P72Q3    P72Q4   $
  P73Q1    P73Q2    P73Q3    P73Q4   $
  P74Q1    P74Q2    P74Q3    P74Q4   $
  P75Q1    P75Q2    P75Q3    P75Q4   $
  P76Q1    P76Q2    P76Q3    P76Q4   $
  P77Q1    P77Q2    P77Q3    P77Q4   $
  P78Q1    P78Q2    P78Q3    P78Q4   $
  P79Q1    P79Q2    P79Q3    P79Q4   $
  P80Q1    P80Q2    P80Q3    P80Q4   $
  P81Q1    P81Q2    P81Q3    P81Q4   $
  P82Q1    P82Q2    P82Q3    P82Q4   $
  P83Q1    P83Q2    P83Q3    P83Q4   $
  P84Q1    P84Q2    P84Q3    P84Q4   $
  P85Q1    P85Q2    P85Q3    P85Q4   $
  P86Q1    P86Q2    P86Q3    P86Q4   $
  P87Q1    P87Q2    P87Q3    P87Q4   $
  P88Q1    P88Q2    P88Q3    P88Q4   $
  P89Q1    P89Q2    P89Q3    P89Q4   $
  P90Q1    P90Q2    P90Q3    P90Q4   $
  P91Q1    P91Q2    P91Q3    P91Q4   $
  P92Q1    P92Q2    P92Q3    P92Q4   $
  P93Q1    P93Q2    P93Q3    P93Q4   $
  P94Q1    P94Q2    P94Q3    P94Q4   $
  P95Q1    P95Q2    P95Q3    P95Q4   $
  P96Q1    P96Q2    P96Q3    P96Q4   $
  P97Q1    P97Q2    P97Q3    P97Q4   $
  P98Q1    P98Q2    P98Q3    P98Q4   $
  P99Q1    P99Q2    P99Q3    P99Q4   $
  P00Q1    P00Q2    P00Q3    P00Q4   $
  P01Q1    P01Q2    P01Q3    P01Q4   $
  P02Q1    P02Q2    P02Q3    P02Q4   $
  P03Q1    P03Q2    P03Q3    P03Q4   $
  P04Q1    P04Q2    P04Q3    P04Q4   $
  P05Q1    P05Q2    P05Q3    P05Q4   $
  P06Q1    P06Q2    P06Q3    P06Q4   $
  P07Q1    P07Q2    P07Q3    P07Q4   $
  P08Q1                                 ;* change all vintage names

     set x(i)  /  = z(t)
     compute i = i + 1

end dofor


do i = 1,vtot
   set dxq(i) / = (((x(i)(t)/x(i)(t-1))**4)-1.0)*100.0
end do i

***************************************************
*                                                 *
* Part 2. Replace Missing Values for Various      *
*         Vintages With Data From Preceding       *
*         Vintage                                 *
*                                                 *
***************************************************

* Part 2.A.  Data Sets Feb92 to Nov92
*            Problem:  levels of PGDP exist from 59Q1-present only
*            Solution: replace missing growth rates with those in vintage
*                      Nov91 = x(105)


set dxq(106) 1947:2 1959:1 = dxq(105)(t)
set dxq(107) 1947:2 1959:1 = dxq(105)(t)
set dxq(108) 1947:2 1959:1 = dxq(105)(t)
set dxq(109) 1947:2 1959:1 = dxq(105)(t)

* Part 2.B.  Data Sets Feb96 to Feb97
*            Problem:  levels of PGDP exist from 59Q3-present only
*            Solution: replace missing growth rates with those in vintage
*                      Nov95 = x(121)

set dxq(122) 1947:2 1959:3 = dxq(121)(t)
set dxq(123) 1947:2 1959:3 = dxq(121)(t)
set dxq(124) 1947:2 1959:3 = dxq(121)(t)
set dxq(125) 1947:2 1959:3 = dxq(121)(t)
set dxq(126) 1947:2 1959:3 = dxq(121)(t)

* Part 2.C. Data Set Feb96
*           Problem:  missing 95Q4 observation due to Fed Gov shutdown
*           Solution: replace missing 95Q4 observation with predicted value
*                     from AR(4) specification in growth rates

set x(122) 1995:4 1995:4 = 108.5
set x(122) 1995:3 1995:3 = 107.9
set dxq(122) 1995:4 1995:4 = (((x(122)(t)/x(122)(t-1))**4)-1.0)*100.0
set dxq(122) 1995:3 1995:3 = (((x(122)(t)/x(122)(t-1))**4)-1.0)*100.0
print 1995:3 1995:4 x(122) dxq(122)

* Part 2.D.  Data Sets Nov99 to Feb00
*            Problem:  levels of PGDP exist from 59Q1-present only
*            Solution: replace missing growth rates with those in vintage
*                      Aug99 = x(136)


set dxq(137) 1947:2 1959:1 = dxq(136)(t)
set dxq(138) 1947:2 1959:1 = dxq(136)(t)



***************************************************
*                                                 *
* Part 3. Construct Indexed Four-Quarter          *
*         Averages                                *
*                                                 *
***************************************************
* Modified this formula in May 2008 to make it at annual rates

do i = 1,vtot
*  set dxq5(i) / = ((x(i)(t)/x(i)(t-5))-1.0)*100.0
   set dxq5(i) / = ((((((dxq(i)(t)/100.0)+1.0)**0.25)*   $
        (((dxq(i)(t-1)/100.0)+1.0)**0.25)*              $
        (((dxq(i)(t-2)/100.0)+1.0)**0.25)*              $
        (((dxq(i)(t-3)/100.0)+1.0)**0.25)*              $
        (((dxq(i)(t-4)/100.0)+1.0)**0.25))**0.8)-1.0)*100.0

/*
  print(dates) / i dxq(i) dxq5(i)
*/

end do i


***************************************************
*                                                 *
* Part 4. Construct Actuals                       *
*          Latest                                 *
*          One-Quarter Later                      *
*          One-Year Later                         *
*          Three-Years Later                      *
*          Pre-Benchmark                          *
*                                                 *
***************************************************



* latest (l)
clear actual_l_q actual_l_q5
do time = 1965:3, send

        set actual_l_q time time = dxq(vtot)(t)
        set actual_l_q5 time time = dxq5(vtot)(t)
        compute i = i + 1

end do time

print(dates) / actual_l_q actual_l_q5


* one-quarter later (1q)

clear actual_1q_q actual_1q_q5
compute [integer] i = 1

do time = 1965:3, send-1

        set actual_1q_q time time = dxq(i+1)(t)
        set actual_1q_q5 time time = dxq5(i+1)(t)
        compute i = i + 1

end do time

print(dates) / actual_1q_q actual_1q_q5

* one-year later (1y)

clear actual_1y_q actual_1y_q5
compute [integer] i = 1

do time = 1965:3, send-4

        set actual_1y_q time time = dxq(i+4)(t)
        set actual_1y_q5 time time = dxq5(i+4)(t)
        compute i = i + 1

end do time

print(dates) / actual_1y_q actual_1y_q5

*initial to three-years later

clear actual_3y_q actual_3y_q5
compute [integer] i = 1

do time = 1965:3, send-12

        set actual_3y_q time time = dxq(i+12)(t)
        set actual_3y_q5 time time = dxq5(i+12)(t)
        compute i = i + 1

end do time

print(dates) / actual_3y_q actual_3y_q5

*
*       Section here: for each showing revision to last vintage before benchmark revision
*       Pre-benchmark vintages for NIPAs are 41, 61, 81, 105, 121, 136, 153
*       Last observations for each are 1975:3, 1980:3, 1985:3, 1991:3, 1995:3, 1999:2, 2003:3
*

clear actual_pb_q actual_pb_q5
compute [integer] i = 1

do time = 1965:3, 1975:3

        set actual_pb_q time time = dxq(41)(t)
        set actual_pb_q5 time time = dxq5(41)(t)
*       print(dates) / i r_i_pb_q
*       display 'i = ' i
        compute i = i + 1

end do time

do time = 1975:4, 1980:3

        set actual_pb_q time time = dxq(61)(t)
        set actual_pb_q5 time time = dxq5(61)(t)
*       print(dates) / i actual_pb_q
*       display 'i = ' i
        compute i = i + 1

end do time

do time = 1980:4, 1985:3

        set actual_pb_q time time = dxq(81)(t)
        set actual_pb_q5 time time = dxq5(81)(t)
*       print(dates) / i actual_pb_q
*       display 'i = ' i
        compute i = i + 1

end do time

do time = 1985:4, 1991:3

        set actual_pb_q time time = dxq(105)(t)
        set actual_pb_q5 time time = dxq5(105)(t)
*       print(dates) / i actual_pb_q
*       display 'i = ' i
        compute i = i + 1

end do time


do time = 1991:4, 1995:3

        set actual_pb_q time time = dxq(121)(t)
        set actual_pb_q5 time time = dxq5(121)(t)
*       print(dates) / i actual_pb_q
*       display 'i = ' i
        compute i = i + 1

end do time

do time = 1995:4, 1999:2

        set actual_pb_q time time = dxq(136)(t)
        set actual_pb_q5 time time = dxq5(136)(t)
*       print(dates) / i actual_pb_q
*       display 'i = ' i
        compute i = i + 1

end do time

do time = 1999:3, 2003:3

        set actual_pb_q time time = dxq(153)(t)
        set actual_pb_q5 time time = dxq5(153)(t)
*       print(dates) / i actual_pb_q
*       display 'i = ' i
        compute i = i + 1

end do time

*  this last one is just the latest vintage
do time = 2003:4, send

        set actual_pb_q time time = dxq(vtot)(t)
        set actual_pb_q5 time time = dxq5(vtot)(t)
*       print(dates) / i actual_pb_q
*       display 'i = ' i
        compute i = i + 1

end do time


print(dates) / actual_pb_q actual_pb_q5

open copy c:\data\LIV_actuals_p.xls
copy(dates,format=xls,org=obs) / actual_l_q actual_l_q5    $
                                 actual_1q_q actual_1q_q5  $
                                 actual_1y_q actual_1y_q5  $
                                 actual_3y_q actual_3y_q5  $
                                 actual_pb_q actual_pb_q5