Analyzing Econometric Datasets with Calculated Series

Summary

Calculated values in ChartLab are useful for creating multiple visualizations from one set data. ATSD supports a range of in-built functions which allow end-users to manipulate a dataset.

The St. Louis branch of the Federal Reserve branch maintains Federal Reserve Economic Data (FRED), an open-access platform for analyzing the data collected and published by the Federal Reserve. One important metric tracked by FRED is CPIAUCSL: Consumer Price Index, or CPI. The Consumer Price Index tracks inflation by measuring the costs of goods.

Problem Brief

Replicate and modify the FRED CPI visualization using ChartLab.

Modify the FRED visualization by clicking EDIT GRAPH and selecting a transformation. To learn more about how any of the metrics are calculated from the underlying data, What Formulas are Used to Calculate Growth Rates? provides information about the underlying mathematics.

A brief tutorial on data modification in the FRED interface is shown below:

  • Open the transformation interface by clicking EDIT GRAPH.

  • From the Units drop-down list, select a transformation.

  • Modify any sub-features of the transformation as needed.

Solution

A side-by-side comparison of each feature of the Consumer Price Index transformation is shown below, as well as links to the accompanying visualizations.

Note that because ATSD supports storing historical data from the year 1970 onward while the Federal Reserve tracks data from 1947 onward, small scale differences are expected in the outputs of each graph.

Index

Consumer Price Index

Figure 1: Consumer Price Index for Baseline Year 1982 (1947-2017) FRED

View FRED Graph

Figure 1: Consumer Price Index (1970-2017) ATSD

Return to the Index

CPI Calculated from a Variable Baseline

The index is the baseline year when performing calculations. Years showing an increase in the cost of consumer goods are therefore greater than 100.00 while years exhibiting deflation in the cost of consumer goods based on the index are less than 100.00.

Figure 2.2: CPI Calculated from a Variable Baseline (1990-07-01) FRED

View FRED Graph

Figure 2.1: CPI Calculated from a Variable Baseline (1990-07-01) ATSD

In ChartLab, use the drop-down list at the top of the visualization to select the year to be used as a baseline, or hardcode a year not included in the drop-down list by modifying one of the dates in the keyDates list.

Key Components of This Visualization:

Open the ChartLab visualization shown above and view the Editor window to see these features of the chart.

  • The list keyDates contains the same dates as the FRED chart referenced in the Problem Brief:
list keyDates = 1970-11-01,
  1973-11-01, 1975-03-01,
  1980-01-01, 1980-07-01,
  1981-07-01, 1982-11-01,
  1990-07-01, 1991-03-01,
  2001-03-01, 2001-11-01,
  2007-12-01, 2009-06-01
endlist
  • These dates are displayed in the drop-down list. The dates represent the official start dates of recessions throughout U.S. history.

The syntax for this drop-down list is shown below:

[dropdown]
  on-change = widget.config.series[0].value = this.value; widget.replaceSeries(widget.config.series);
  for date in keyDates
    [option]
      text = Index (Scale to 100 for @{date})
      value = value("cpi") / value("cpi_@{date}") * 100 || null
  endfor

For more information about the above syntax see the Charts Documentation.

By modifying any of the dates contained in the keyDates list above, the user can select any date to set as the baseline value, and the value equation contained in the [option] portion of the [dropdown] configuration above uses a simple formula to establish the new index.

The on-change setting defines this newly calculated series, and is explained piecewise below:

  • widget.config.series[0] selects the series to be replaced. Series are indexed beginning with 0 and increasing by a single step for each additional series (0,1,2,3....). There is only one underlying series in this visualization.
  • value = this.value assigns a user-defined value, the option selected in the drop-down list, as the value for the series defined in the the widget.config portion of the script. this defines the specific object to be modified, in this case the drop-down list.
  • widget.replaceSeries(widget.config.series) replaces the underlying values of the original series defined as a parameter of the function, with the newly calculated values defined in the [option] setting.

Return to the Index

Monthly Change

The monthly numerical change in CPI value over the observed period.

Figure 3.1: Monthly Change (1947-2017) FRED

View FRED Graph

Figure 3.2: Monthly Change (1970-2017) ATSD

Underlying Formula:

value = delta("cpi", "1 month")
  • This setting uses the delta function.

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Change From a Year Ago

The numerical change in CPI value from the same month of the previous year.

Figure 4.1: Change From Previous Year (1947-2017) FRED

View FRED Graph

Figure 4.2: Change From Previous Year (1970-2017) ATSD

Underlying Formula:

value = var v = value('cpi'); var p = value('prev_cpi'); if(p != null && v != null) return v - p;
  • This setting uses a second underlying series to select values of the Consumer Price Index from one year ago using a time-offset setting and comparing the data to the current year values.

Return to the Index

Monthly Percent Change

The monthly percentile change in CPI value over the entire observed period.

Figure 5.1: Monthly Percent Change (1947-2017) FRED

View FRED Graph

Figure 5.2: Monthly Percent Change (1970-2017) ATSD

Underlying Formula:

value = (value("cpi") / previous("cpi") - 1) * 100
  • This setting uses the previous() function.

Return to the Index

Monthly Percent Change From a Year Ago

The percentile change in CPI from the same month of the previous year.

Figure 6.1: Monthly Percent Change From Previous Year (1947-2017) FRED

View FRED Graph

Figure 6.2: Monthly Percent Change From Previous Year (1970-2017) ATSD

Underlying Formula:

value = var v = value('cpi'); var p = value('prev_cpi'); if(p!=null && v!=null) return (v / p - 1) * 100

Return to the Index

Compounded Annual Rate of Change

The mean annual rate of change for the Consumer Price Index.

Figure 7.1: Compounded Annual Rate of Change (1947-2017) FRED

View FRED Graph

Figure 7.2: Compounded Annual Rate of Change (1970-2017) ATSD

Underlying Formula:

value = (Math.pow(( value("cpi") / previous("cpi") ), 12) - 1) * 100
  • This setting uses the built-in Math javascript object.

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Continuously Compounded Rate of Change

The mean rate of change for the Consumer Price Index compounded continuously.

Figure 8.1: Continuously Compounded Rate of Change (1947-2017) FRED

View FRED Graph

Figure 8.2: Continuously Compounded Rate of Change (1970-2017) ATSD

Underlying Formula:

value = ( Math.log(value("cpi")) - Math.log(previous("cpi")) ) * 100

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Continuously Compounded Annual Rate of Change

The annual rate of change compounded continuously for the observed period.

Figure 9.1: Continuously Compounded Annual Rate of Change (1947-2017) FRED

View FRED Graph

Figure 9.2: Continuously Compounded Annual Rate of Change (1970-2017) ATSD

Underlying Formula:

value = ( Math.log(value("cpi")) - Math.log(previous("cpi")) ) * 100 * 12

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Natural Logarithm of CPI

The logarithm of each value set to base of the mathematical constant e

Figure 10.1: Natural Logarithm of CPI (1947-2017) FRED

View FRED Graph

Figure 10.2: Natural Logarithm of CPI (1970-2017) ATSD

Underlying Formula:

value = Math.log(value("cpi"))

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Max Index

Indexes the Consumer Price Index by maximum and most recent value.

Figure 11.1: CPI with Most Recent Data as Index (1947-2017) FRED

View FRED Graph

Figure 11.2: CPI with Most Recent Data as Index (1970-2017) ATSD

Underlying Formula:

value = value("cpi") / value("cpi_max") * 100 || null

Return to the Index