# jubilee.forward_rtn: Internal utility to calculate annualized forward and backward... In jubilee: Forecasting Long-Term Growth of the U.S. Stock Market and Business Cycles

## Description

These two internal utilities are intended to be used to calculate the annualized forward and backward log-return on the given time series. It is really calculating the speed of change, aka log-return, expecting the input to be in logrithmic scale. The forward return is typically the response variable in a forecast. The backward return is often used as explanatory variable in a regression.

## Usage

 ```1 2 3``` ```jubilee.forward_rtn(fraction, ts, fwd.rtn.duration, tol.frac = 1/12) jubilee.backward_rtn(fraction, ts, bwd.rtn.duration, tol.frac = 1/12) ```

## Arguments

 `fraction` numeric, the ending fraction of regression `ts` numeric, the time series data, typically in log-scale `fwd.rtn.duration` numeric, the forward-looking regression period `tol.frac` numeric, tolerance of missing data in the beginning of backward return, or the ending of the forward return, expressed as fraction. Default is 1/12, that is, one month. `bwd.rtn.duration` numeric, the backward-looking regression period

## Value

numeric, the same length as `fraction`

Stephen H. Lihn

## Examples

 ```1 2 3 4 5 6 7 8``` ```## Not run: dtb <- jubilee.repo(online=FALSE)@ie dtb\$fwd.logr.10 <- jubilee.forward_rtn(dtb\$fraction, dtb\$log.tri, 10) dtb\$bwd.logr.10 <- jubilee.backward_rtn(dtb\$fraction, dtb\$log.tri, 10) head(subset(dtb, fraction >= 1990),1)\$fwd.logr.10 # 1/1990+10y: 0.16745 tail(subset(dtb, fraction <= 2000+1/12),1)\$bwd.logr.10 # the same as above ## End(Not run) ```

jubilee documentation built on Jan. 24, 2020, 5:10 p.m.