fred_transform function

FRED transformation and subset helper

Apply transformations given by FRED-MD or FRED-QD and generate rectangular subsets. See fred_qd for information on data and the Details section for information on the transformations. Call without arguments to retrieve available codes / all FRED suggestions.

fred_transform(
  data,
  type = c("fred_qd", "fred_md"),
  codes,
  na.rm = TRUE,
  lag = 1L,
  scale = 100
)

fred_code(vars, type = c("fred_qd", "fred_md"), table = FALSE)

Arguments

• data: A data.frame with FRED-QD or FRED-MD time series. The column names are used to find the correct transformation.
• type: Character scalar. Whether data stems from the FRED-QD or the FRED-MD database.
• codes: Integer vector. Transformation code(s) to apply to data. Overrides automatic lookup of transformation codes.
• na.rm: Logical scalar. Whether to subset to rows without any NA values. A warning is thrown if rows are non-sequential.
• lag: Integer scalar. Number of lags to apply when taking differences. See diff.
• scale: Numeric scalar. Scaling to apply to log differences.
• vars: Character vector. Names of the variables to look for.
• table: Logical scalar. Whether to return a table of matching transformation codes instead of just the codes.

Returns

fred_transform returns a data.frame object with applied transformations. fred_code returns transformation codes, or a data.frame of matching transformation codes.

Details

FRED-QD and FRED-MD include a transformation code for every variable. All codes are provided in system.file("fred_trans.csv", package = "BVAR"). The transformation codes are as follows:

1. 1 - no transformation;
2. 2 - first differences - $Delta x$;
3. 3 - second differences - $Delta2 x$;
4. 4 - log transformation - $log x$;
5. 5 - log differences - $Delta log x$;
6. 6 - log second differences - $Delta2 log x$;
7. 7 - percent change differences - $Delta x / lag-x - 1$;

Note that the transformation codes of FRED-MD and FRED-QD may differ for the same series.

Examples

# Transform a subset of FRED-QD
fred_transform(fred_qd[, c("GDPC1", "INDPRO", "FEDFUNDS")])

# Get info on transformation codes for unemployment variables
fred_code("UNRATE", table = TRUE)

# Get the transformation code for GDPC1
fred_code("GDPC1", type = "fred_qd")

# Transform all of FRED-MD
## Not run:

fred_transform(fred_md, type = "fred_md")
## End(Not run)

See Also

fred_qd