Tuesday, November 29, 2011

Frequency Aggregation

My DPD numbers are annual. I can go back to the 1940s or '50s with quarterly data, but before that it's all annual. So, annual it is.

Shiller's interest rate numbers are monthly. It makes for a spreadsheet with a lot of rows, something like 1600. Excel scrolls down well, but Google Docs goes at its own pace and you have time to see the numbers and notice whether they're increasing rapidly or not. While you wait.

That's not really the problem. The problem is that I want to compare the interest rate numbers to the DPD numbers on the same graph. So I need (or think I need) numbers with the same frequency: All monthly, or all quarterly, or all annual.

Gotta go with annual, because otherwise I'm just making things up.

So naturally I turned to Uncle FRED:

The FRED frequency aggregation feature converts higher frequency data series into lower frequency data series (e.g. converts a monthly data series into an annual data series). In FRED, the highest frequency data is daily, and the lowest frequency data is annual. There are 3 aggregation methods available- average, sum, and end of period.

The average, sum, and end of period aggregation methods all return lower frequency values with the same number of decimal places as the higher frequency values that are being aggregated. For example, a monthly series with values 100.1, 100.4, and 100.9 for the first 3 months of year is averaged to a quarterly value of 100.5 (i.e. 100.467 rounded up to 100.5).

FRED's GDP series numbers are quarterly, and when you convert them to annual, the default Aggregation Method is Average.

FRED's FEDFUNDS interest rate series shows monthly data, and when you convert them to annual, again the default Aggregation Method is Average.

I will therefore average Robert Shiller's monthly numbers to get my annual values.

FRED, I don't know what I'd do without ya.


Jazzbumpa said...



nanute said...

O/T, but thought you would be interested in this conversation: http://worthwhile.typepad.com/worthwhile_canadian_initi/2011/11/why-has-private-debt-increased.html

The Arthurian said...

Yeah, Nute, that was good. The thing wouldn't accept my comments, but it was a good read.

Glad to see they're finally talking about PRIVATE debt.