[open-economics] Financial Comparisons

Tue Jun 11 13:04:40 UTC 2013

Hi Tryggvi,

FRED is mainly US economic data, but not only. CPI for most countries I
think.

With Shiller's data I didn't mean the case-shiller index, but his
"personal" data, which is the longest ranging house price index in the
world (starts some time around 1890 I think)

I see your main problem is how to interpolate missing values. Somebody may
be rotating in their graves right now, but I would just interpolate this
with method "X", mention why and how you are doing it, and that's that. I
mean if you miss 10 years you have a problem. (you could follow the trend
of neighboring countries, regions etc but it's going to be very case
specific - better drop that county). Otherwise I would draw a straight line
connecting the adjacent years or use a polynomial smoother or a spline if
you want to get fancy.

flo

On 11 June 2013 12:00, <open-economics-request at lists.okfn.org> wrote:

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>    1. Berkeley Initiative for Transparency in the Social        Sciences
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>    2. Re: Financial Comparisons (Tryggvi Bj?rgvinsson)
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> Message: 1
> Date: Mon, 10 Jun 2013 12:16:02 -0400
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> Subject: [open-economics] Berkeley Initiative for Transparency in the
>         Social  Sciences
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> Dear all,
>
> We would like to introduce the Berkeley Initiative for Transparency in the
> Social Sciences with a post from Carson Christiano:
>
>
> http://openeconomics.net/2013/06/07/first-opinion-series-on-transparency-in-social-science-research/
>
> It's a really great blog to follow!
>
> Carson will tell us more about the project on Wednesday morning at the Open
> Economics workshop <http://openeconomics.net/events/workshop-june-2013/>.
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> Message: 2
> Date: Mon, 10 Jun 2013 21:05:44 +0000
> From: Tryggvi Bj?rgvinsson <tryggvi.bjorgvinsson at okfn.org>
> Subject: Re: [open-economics] Financial Comparisons
> To: open-economics at lists.okfn.org
> Message-ID: <51B63FA8.4060502 at okfn.org>
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>
> Hi again,
>
> On lau 8.j?n 2013 12:00, Florian Oswald wrote:
> > regarding how to do those index adjustments you were talking about,
> here's
> > a simple example of an explanation:
> >
> > http://people.duke.edu/~rnau/411infla.htm
>
> This page does a good job of explaining how to do adjustments (although
> it assumes no gaps in the data which is still my biggest problem).
>
> Thanks a lot for this pointer!
>
> > Just look at the illustrating spreadsheet, it is quite easy to
> understand I
> > think. It also shows how to change the base year of the index, which
> could
> > be quite important if you are going to combine many different datasets in
> > the end. For example, if you combine two time series X and Y,
> >
> > X: from date 1 thru date 100
> > Y: from date 80 thru date 300
> >
> > you must choose a base date for both series in the overlapping region
> > 80-100. This is all quite common sense but very easy to mess up.
>
> That's good to know. I would probably have missed this if I would go and
> try and combine data.
>
> > I looked at your data package, it's great. Just to make sure, do you know
> > FRED?
> > http://research.stlouisfed.org/
>
> No I haven't seen FRED before. It looks good. Isn't it only economic
> data for the US though?
>
> > I think there's a ton of other useful data you could package up in this
> way
> > and I think it would be a great service. I started my own modest attempt
> at
> > doing so (after I googled "unemployment rates by US state over time" for
> > the 100th time) and I collect the datasets here:
> >
> > https://github.com/floswald/Rdata
> >
> > It stores everything as R data but might as well be csv.
>
> Hmm... I'm packaging this according to the standard as described on
> http://dataprotocols.org (it only defines a CSV format (as Simple Data
> Format) at the moment). I think it could define R formatted data as well.
>
> Since you mention R (unfortunately I don't use it but I really want to
> try it out). There is an R client that supports interaction with Data
> Packages (the standard defined on dataprotocols.org):
>
> https://github.com/QBRC/RODProt
>
> You might be interested in it.
>
> > other data to package up could be Robert Shiller's house price and stock
> > market data:
> >
> > http://www.econ.yale.edu/~shiller/data.htm
>
> Here's the Case-Shiller house price index:
> http://data.okfn.org/data/house-prices-us
>
> It's taken from Standard & Poor's.
>
> > and yes, the entire Reinhardt and Rogoff suite (not only inflation but
> all
> > the other stuff as well - after the recent debacle I should be surprised
> if
> > they wouldn't be more than happy to make the data open). In fact, now
> that
> > government datastores are picking up speed (and "official data" like
> > inflation and unemployment are easier accessible via data.gov and
> > data.gov.uk and the like) I think there would be a very big value in
> trying
> > to get individual reseacher's data out there.
>
> I haven't heard anything from them yet but I'll let you know as soon as
> I hear anything. Good to know that they are potentially open to it.
>
> > I may be getting ahead of myself here - not sure what your plan is.
> Anyway
> > let's talk more if you think there's some scope here.
>
> Well, my plan isn't all that grand. I just need to automatically adjust
> for inflation in OpenSpending. I don't know what years might pop up in
> the system so I just have to know what to do when I don't have an index
> value for a particular year.
>
> The data package stuff is just me trying to implement it in the most
> reusable way possible :-)
>
> Thanks a bunch for your help. I really appreciate it.
>
> --
>
> Tryggvi Bj?rgvinsson
>
> Technical Lead, OpenSpending
>
> The Open Knowledge Foundation <http://okfn.org>
>
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