movavg

Moving average pseudofunction

Syntax

movavg(Expr)
movavg(Expr,K)

Description

If the second input argument, K, is negative, this function expands to the moving average of the last K periods (including the current period), i.e.

(((Expr)+(Expr{-1})+ ... +(Expr{-(K-1)})/-K)

where Expr{-N} derives from Expr and has all its time subscripts shifted by -N (if specified).

If the second input argument, K, is positive, this function expands to the moving average of the next K periods ahead (including the current period), i.e.

(((Expr)+(Expr{1})+ ... +(Expr{K-1})/K)

If the second input argument, K, is not specified, the default value -4 is used (based on the fact that most of the macroeconomic models are quarterly).

Example

The following three lines

movavg(Z)
movavg(Z,-3)
movavg(X+Y{-1},2)

will expand to

(((Z)+(Z{-1})+(Z{-2})+(Z{-3}))/4)
(((Z)+(Z{-1})+(Z{-2}))/3)
(((X+Y{-1})+(X{1}+Y))/2)