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Usage of short run cyclical movement of credit series to improve its own future values forecast

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6 Commits
1-4 step average BG combined cycle 2
1-4 step average BG combined cycle 2
 
 
1-4 step average BG combined cycle
1-4 step average BG combined cycle
 
 
Actual Value Results
Actual Value Results
 
 
Cycle Decomp - 20200101
Cycle Decomp - 20200101
 
 
Cycle Decomp - 20210401
Cycle Decomp - 20210401
 
 
HPfilters
HPfilters
 
 
Log-level Results
Log-level Results
 
 
RMSE full sample - 220112
RMSE full sample - 220112
 
 
References
References
 
 
Rolling RMSE
Rolling RMSE
 
 
Test Codes
Test Codes
 
 
data
data
 
 
plots
plots
 
 
.DS_Store
.DS_Store
 
 
.RData
.RData
 
 
.Rhistory
.Rhistory
 
 
.gitattributes
.gitattributes
 
 
.gitignore
.gitignore
 
 
1-4 step average BG combined cycle.zip
1-4 step average BG combined cycle.zip
 
 
1-4steps_average_weightUS.pdf
1-4steps_average_weightUS.pdf
 
 
1-4steps_average_weight_AU.pdf
1-4steps_average_weight_AU.pdf
 
 
1-4steps_average_weight_CA.pdf
1-4steps_average_weight_CA.pdf
 
 
1-4steps_average_weight_DE.pdf
1-4steps_average_weight_DE.pdf
 
 
1-4steps_average_weight_FR.pdf
1-4steps_average_weight_FR.pdf
 
 
1-4steps_average_weight_GB.pdf
1-4steps_average_weight_GB.pdf
 
 
1-4steps_average_weight_JP.pdf
1-4steps_average_weight_JP.pdf
 
 
1-4steps_average_weight_US.pdf
1-4steps_average_weight_US.pdf
 
 
4 series plots.pdf
4 series plots.pdf
 
 
Actual Value Results.zip
Actual Value Results.zip
 
 
Combined Cycles - wo UC.R
Combined Cycles - wo UC.R
 
 
Combined cyclical components.R
Combined cyclical components.R
 
 
Combined series vs dependent.pdf
Combined series vs dependent.pdf
 
 
Combined_cycle_AU.pdf
Combined_cycle_AU.pdf
 
 
Combined_cycle_CA.pdf
Combined_cycle_CA.pdf
 
 
Combined_cycle_DE.pdf
Combined_cycle_DE.pdf
 
 
Combined_cycle_FR.pdf
Combined_cycle_FR.pdf
 
 
Combined_cycle_GB.pdf
Combined_cycle_GB.pdf
 
 
Combined_cycle_JP.pdf
Combined_cycle_JP.pdf
 
 
Combined_cycle_US.pdf
Combined_cycle_US.pdf
 
 
Cycle Decomp - 20200101.zip
Cycle Decomp - 20200101.zip
 
 
Cycle Decomp - 20210401.zip
Cycle Decomp - 20210401.zip
 
 
Cycle Decomp - No BW filter.zip
Cycle Decomp - No BW filter.zip
 
 
Cycles Decomp - .zip
Cycles Decomp - .zip
 
 
Cycles Decomp - Latest date.zip
Cycles Decomp - Latest date.zip
 
 
Decomp.R
Decomp.R
 
 
Estimated Bates Granger weights.pdf
Estimated Bates Granger weights.pdf
 
 
Estimated Cycles.pdf
Estimated Cycles.pdf
 
 
Estimated Cyclical Component.pdf
Estimated Cyclical Component.pdf
 
 
Generate Plots.R
Generate Plots.R
 
 
Generate cycles in loops - Combined cyclical components copy.R
Generate cycles in loops - Combined cyclical components copy.R
 
 
Generate cycles in loops - Full Sample.R
Generate cycles in loops - Full Sample.R
 
 
Generate cycles in loops - rolling 10 year average.R
Generate cycles in loops - rolling 10 year average.R
 
 
Generate cycles in loops - test HP cycle.R
Generate cycles in loops - test HP cycle.R
 
 
Generated Cycles 220113.zip
Generated Cycles 220113.zip
 
 
GeneratedCycles.csv
GeneratedCycles.csv
 
 
GeneratedCycles_AU.csv
GeneratedCycles_AU.csv
 
 
GeneratedCycles_CA.csv
GeneratedCycles_CA.csv
 
 
GeneratedCycles_DE.csv
GeneratedCycles_DE.csv
 
 
GeneratedCycles_FR.csv
GeneratedCycles_FR.csv
 
 
GeneratedCycles_GB.csv
GeneratedCycles_GB.csv
 
 
GeneratedCycles_JP.csv
GeneratedCycles_JP.csv
 
 
GeneratedCycles_US.csv
GeneratedCycles_US.csv
 
 
GeneratedWeights.csv
GeneratedWeights.csv
 
 
HPI-Credit-Trasitory-Forecast.Rproj
HPI-Credit-Trasitory-Forecast.Rproj
 
 
Log-level Results.zip
Log-level Results.zip
 
 
OneSidedHPfilter.R
OneSidedHPfilter.R
 
 
README.md
README.md
 
 
RMSE full sample - 220112.zip
RMSE full sample - 220112.zip
 
 
RMSE ratio.pdf
RMSE ratio.pdf
 
 
RMSE.R
RMSE.R
 
 
RMSE_10yrsrolling.csv
RMSE_10yrsrolling.csv
 
 
RMSE_fullsample.csv
RMSE_fullsample.csv
 
 
RMSE_ratio_AU.txt
RMSE_ratio_AU.txt
 
 
RMSE_ratio_CA.txt
RMSE_ratio_CA.txt
 
 
RMSE_ratio_DE.txt
RMSE_ratio_DE.txt
 
 
RMSE_ratio_FR.txt
RMSE_ratio_FR.txt
 
 
RMSE_ratio_GB.txt
RMSE_ratio_GB.txt
 
 
RMSE_ratio_JP.txt
RMSE_ratio_JP.txt
 
 
RMSE_ratio_US.txt
RMSE_ratio_US.txt
 
 
RMSE_ratio_rolling10yrs_AU.txt
RMSE_ratio_rolling10yrs_AU.txt
 
 
RMSE_ratio_rolling10yrs_CA.txt
RMSE_ratio_rolling10yrs_CA.txt
 
 
RMSE_ratio_rolling10yrs_DE.txt
RMSE_ratio_rolling10yrs_DE.txt
 
 
RMSE_ratio_rolling10yrs_FR.txt
RMSE_ratio_rolling10yrs_FR.txt
 
 
RMSE_ratio_rolling10yrs_GB.txt
RMSE_ratio_rolling10yrs_GB.txt
 
 
RMSE_ratio_rolling10yrs_JP.txt
RMSE_ratio_rolling10yrs_JP.txt
 
 
RMSE_ratio_rolling10yrs_US.txt
RMSE_ratio_rolling10yrs_US.txt
 
 
RMSE_rolling_AU.pdf
RMSE_rolling_AU.pdf
 
 
RMSE_rolling_CA.pdf
RMSE_rolling_CA.pdf
 
 
RMSE_rolling_DE.pdf
RMSE_rolling_DE.pdf
 
 
RMSE_rolling_FR.pdf
RMSE_rolling_FR.pdf
 
 
RMSE_rolling_GB.pdf
RMSE_rolling_GB.pdf
 
 
RMSE_rolling_JP.pdf
RMSE_rolling_JP.pdf
 
 
RMSE_rolling_US.pdf
RMSE_rolling_US.pdf
 
 
Rolling RMSE.zip
Rolling RMSE.zip
 
 

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Credit-Trasitory-Forecast

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  • Run "Generate cycles in loops - Full Sample.R" to start

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Usage of short run cyclical movement of credit series to improve its own future values forecast

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prediction decomposition forecasting

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