movavg

Moving geometric average pseudofunction

Syntax

movgeom(Expr)
movgeom(Expr,K)

Description

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

(((Expr)*(Expr{-1})* ... *(Expr{-(K-1)})^(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 geometric average of the next K periods ahead (including the current period), i.e.

(((Expr)*(Expr{1})* ... *(Expr{K-1})^(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

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

will expand to

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