?? inter_xls.m
字號:
function y = inter_xls(Y,x,ta,s,type,ip,d,flax1,flax2,file_name);
% PURPOSE: Interface via Excel Link for univariate temporal disaggregation
% -----------------------------------------------------------------------
% SYNTAX: y = inter_xls(Y,x,ta,s,type,ip,d,flax1,flax2,file_name);
% -----------------------------------------------------------------------
% INPUT
% SELECTION OF THE METHOD
%
% Common parameters:
% ta: type of disaggregation
% ta=1 ---> sum (flow)
% ta=2 ---> average (index)
% ta=3 ---> last element (stock) ---> interpolation
% ta=4 ---> first element (stock) ---> interpolation
% s: number of high frequency data points for each low frequency data point
% s= 4 ---> annual to quarterly
% s=12 ---> annual to monthly
% s= 3 ---> quarterly to monthly
%
% Specific parameters:
%
% ==> Boot-Feibes-Lisman, Denton:
% d: objective function to be minimized: volatility of ...
% d=0 ---> levels
% d=1 ---> first differences
% d=2 ---> second differences
%
% ==> Chow-Lin, Litterman, Santos-Cardoso:
% type: estimation method:
% type=0 ---> weighted least squares
% type=1 ---> maximum likelihood
% ==> Chow-Lin, Litterman, Santos-Cardoso when innovational parameter is supplied:
% ip, such as -1 < ip < 1
%
% INPUT DATA:
%
% Common:
% Y: Nx1 --> Low-frequency time series (to be temporally disaggregated)
% Specific:
% x: nx1 --> Denton, n=s*N (extrapolation is not feasible)
% x: nxp --> Fernandez, Chow-Lin, Litterman, Santos-Cardoso
% p >= 1, n >= s*N (extrapolation is feasible)
%
% -----------------------------------------------------------------------
% OUTPUT: y: nxi
%
% i=1 brief --> only temporally disaggregated series (all procedures)
% i=5 normal --> temporally disaggregated series, standard errors of estimates,
% one-sigma upper and lower limits and residuals.
% Available for Fernandez, Chow-Lin, Litterman, Santos-Cardoso
% i=5 detailed --> normal + ASCII file with model results (all
% procedures). A name for the output file should be supplied.
%
% -----------------------------------------------------------------------
% LIBRARY: bfl, denton_uni, fernandez, chowlin, litterman, ssc,
% chowlin_fix, litterman_fix, ssc_fix, td_uni_print, td_print
% written by:
% Ana Abad & Enrique M. Quilis
% Instituto Nacional de Estadistica
% Paseo de la Castellana, 183
% 28046 - Madrid (SPAIN)
% -----------------------------------------------------------------------
% SELECTION OF THE METHOD
switch flax1
case 1
% Boot-Feibes-Lisman
res=bfl(Y,ta,d,s);
case 2
% Denton
res=denton_uni(Y,x,ta,d,s);
case 3
% Fernandez
res=fernandez(Y,x,ta,s);
case 4
% Chow-Lin
res=chowlin(Y,x,ta,s,type);
case 5
% Litterman
res=litterman(Y,x,ta,s,type);
case 6
% Santos-Cardoso
res=ssc(Y,x,ta,s,type);
case 7
% Chow-Lin, fixed innovational parameter (ip)
res=chowlin_fix(Y,x,ta,s,type,ip);
case 8
% Litterman, fixed innovational parameter (ip)
res=litterman_fix(Y,x,ta,s,type,ip);
case 9
% Santos-Cardoso, fixed innovational parameter (ip)
res=ssc_fix(Y,x,ta,s,type,ip);
end
% -----------------------------------------------------------------------
% SELECTION OF OUTPUT
switch flax2
case 1
% Brief output
y = res.y;
case 2
% Normal output
switch res.meth
case {'Boot-Feibes-Lisman'}
y = [res.y zeros(res.s*res.N,4)];
case {'Denton'}
y = [res.y zeros(res.s*res.N,3) res.u];
case {'Fernandez','Chow-Lin','Litterman','Santos Silva-Cardoso'}
y = [res.y res.y_dt res.y_lo res.y_up res.u];
end
case 3
% Detailed output
switch res.meth
case {'Boot-Feibes-Lisman'}
y = [res.y zeros(res.s*res.N,4)];
tduni_print(res,file_name);
case {'Denton'}
y = [res.y zeros(res.s*res.N,3) res.u];
tduni_print(res,file_name);
case {'Fernandez','Chow-Lin','Litterman','Santos Silva-Cardoso'}
y = [res.y res.y_dt res.y_lo res.y_up res.u];
td_print(res,file_name,0);
end
end
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