Monday, February 25, 2008

Overlaying/superimposing NBER recession dates on time series

I don't really know what you'd call it but I've always been curious how Econbrowser produces nice charts like this one on recession probabilities. I'm a SAS geek and this is how I coded it although I think that SAS should have an easier way of doing this without having to use an ANNOTATE data set which despite having used it quite a lot on project work is still a little bit of a mystery to me. Unfortunately, I don't know enough about HTML to render the code correctly so the input statement looks wrong.

data NBERdates;
length PeakQ $ 20 TroughQ $ 20;
informat Peak Trough ddmmyy10.;
format Peak Trough date9.;
input PeakQ 1-20 TroughQ 21-40 Peak Trough;
February 1945(I) October 1945 (IV) 1/2/1945 1/10/1945
November 1948(IV) October 1949 (IV) 1/11/1948 1/10/1949
July 1953(II) May 1954 (II) 1/7/1953 1/5/1954
August 1957(III) April 1958 (II) 1/8/1957 1/4/1958
April 1960(II) February 1961 (I) 1/4/1960 1/2/1961
December 1969(IV) November 1970 (IV) 1/12/1969 1/11/1970
November 1973(IV) March 1975 (I) 1/11/1973 1/3/1975
January 1980(I) July 1980 (III) 1/1/1980 1/7/1980
July 1981(III) November 1982 (IV) 1/7/1981 1/11/1982
July 1990(III) March 1991(I) 1/7/1990 1/3/1991
March 2001(I) November 2001 (IV) 1/3/2001 1/11/2001

data NBERdates;
set NBERdates;
where Peak > '01Jan1947'd and Peak < '31Dec2000'd;
PeakS = "'"put(Peak, date9.)"'d";
TroughS = "'"put(Trough, date9.)"'d";

filename gdp 'GDPC1.txt'; /* File downloaded from FRED St. Louis */
data GDP;
infile gdp firstobs = 14;
/* Read two variables: date and GDP */
input date value;
informat date yymmdd10.;
format date yymmdd10.;
lngdp = log(value);
/* We will refer to Y instead of LNGDP for consistent notation */
/* Calculate the first difference of y */
diffy = dif(y);


data NBERDate1;
set NBERdates;
date = Peak; output;
date = Trough; output;

data anno;
merge GDP(rename = (y=y1)) NBERdate1; by date;

goptions ftext = swiss fontres = presentation htext = 0.9;
axis1 label = (angle=90);
axis2 order = ('1Jan1945'd to '30Jun2000'd by year5) minor = none;
symbol1 color = red interpol = j;
symbol2 color = black interpol = j;

proc gplot data = GDP;
plot lngdp * date /legend vaxis = axis1 haxis = axis2 annotate = anno chref=blue;
format date yyq6.;

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