wcore_summary: Summarize Wavelet Core Inflation

In nelson16silva/wavcoreinf: Estimation and Evaluation of Wavelet Core Inflation Measures

Summarize Wavelet Core Inflation

Description

This function calculates statistics that summarize the quality of an estimated wavelet-based core inflation measure, excluding the forecasting criterion.

Usage

wcore_summary(x, y)

Arguments

x	An object generated by the function wcore_table.
y	A numeric vector (headline inflation) that must be the same x used in wav_smooth.

Value

A tibble. New columns are added to the object x:

sd

Standard desviation of x_sm column that represents the wavelet core inflation measure.

mav25

RMSE of headline inflation 25-period centered moving avarage (mavc) and wavelet core inflation.

no_bias

p-value calculated by the function no_bias2 to verify if the bias of the wavelet core inflation measure is not significant.

alpha, val_p, alpha1 and val_p1

Coefficients \lambda_h and \lambda^*_h and respective p-value from function dyn_adj, where H = 1 and p = 1.

See Also

wcore_table, wav_smooth, mavc, no_bias2.

Examples

library(lubridate)

inf_head <- coreinf_br[["ipca"]]
date_start <- coreinf_br[["date"]][1]
ts_start <- c(year(date_start), month(date_start))
inf_head_ts <- ts(inf_head, start = ts_start, frequency = 12)

wshr_obj <- wav_args_wshr(list(
wavelet = c("haar", "d4", "d6", "d8", "s8"),
n.level = 1:4
))

core_wavelet <- wav_smooth(inf_head, wshr_obj)

core_wavelet2 <- wcore_table(core_wavelet, inf_head_ts)

wcore_summary(core_wavelet2, inf_head)

nelson16silva/wavcoreinf documentation built on Feb. 17, 2025, 7:10 p.m.