Economic Data Analysis
Preface
Introduction
Author
Book Navigation
Part I
Part I: Introduction to R
1
Software Overview
2
Software Installation
2.1
Install R
2.2
Install RStudio
2.3
Install R Markdown
2.4
Install LaTeX
2.5
Install R Packages
2.6
18-Step Test
3
R Basics
3.1
RStudio Interface
3.2
Basic Operations
3.2.1
Arithmetic Operations
3.2.2
Logical Operations
3.2.3
String Operations
3.2.4
Variables
3.2.5
Data Types
3.2.6
Data Structures
3.2.7
Vector Operations
3.2.8
Missing Values
3.2.9
Attributes
3.3
Dates and Times
3.3.1
Time Class (
POSIXct
)
3.3.2
Date Class (
Date
)
3.3.3
Custom Date and Time Formats
3.3.4
Operations with Dates and Times
3.3.5
Current Date and Time
3.4
Graphs
3.4.1
Scatter Plot
3.4.2
Line Graph
3.4.3
Bar Chart
3.4.4
Frequency Bar Chart
3.4.5
Histogram
3.5
Functions
3.5.1
How Functions Operate
3.5.2
Infix Operators
3.5.3
Control-Flow Operators
3.5.4
Help and Documentation
3.5.5
Default Inputs
3.5.6
Custom Functions
3.5.7
Functions from R Packages
3.5.8
Indirect Functions
3.5.9
Apply Functions
3.5.10
Advanced Higher-Order Functions
3.5.11
Wrapper Functions
3.6
R Packages
3.6.1
CRAN
3.6.2
Load and Update Packages
3.6.3
Noteworthy Packages
3.6.4
Package Documentation
3.6.5
Function Name Conflicts
3.6.6
Non-Exported Functions
3.6.7
The Tidyverse
3.6.8
Citing R Packages
3.7
File Management
3.7.1
Find Folder Path
3.7.2
Set Working Directory
3.7.3
Download Files
3.7.4
Import Files
3.7.5
Export Files
3.7.6
Delete Files
3.8
Optimal Workflow
3.8.1
Execute as You Write
3.8.2
Key Shortcuts
3.8.3
Separate Window for R Script
3.8.4
Conclusion
4
Data Structures in R
4.1
Scalar
4.2
Vector
4.3
Matrix (
matrix
)
4.3.1
Create a Matrix
4.3.2
Inspect a Matrix
4.3.3
Select and Modify
4.3.4
Add Labels
4.3.5
Handle Missing Values
4.3.6
Element-Wise Operations
4.3.7
Linear Algebra Operations
4.3.8
Combine Matrices
4.3.9
Apply Family
4.4
List (
list
)
4.4.1
Create a List
4.4.2
Inspect a List
4.4.3
Select and Modify
4.4.4
Add Labels
4.4.5
Combine Lists
4.4.6
Apply Family
4.5
Data Frame (
data.frame
)
4.5.1
Create a Data Frame
4.5.2
Inspect a Data Frame
4.5.3
Select and Modify
4.5.4
Add Labels
4.5.5
Handle Missing Values
4.5.6
Combine Data Frames
4.5.7
Apply Family
4.5.8
Reshape Data Frames
4.6
Tibble (
tbl_df
)
4.6.1
Create a Tibble
4.6.2
Inspect a Tibble
4.6.3
Select and Modify
4.6.4
Add Labels
4.6.5
Handle Missing Values
4.6.6
Combine Tibbles
4.6.7
Apply Family
4.6.8
Reshape Tibbles
4.7
Data Table (
data.table
)
4.8
Extensible Time Series (
xts
)
4.8.1
Create an
xts
Object
4.8.2
Inspect an
xts
Object
4.8.3
Select and Modify
4.8.4
Add Labels
4.8.5
Handle Missing Values
4.8.6
Combine xts Objects
4.8.7
Time Series Transformations
4.8.8
Apply Family
4.8.9
Resources
5
Process Data in R
5.1
Process Bitcoin Price Data
5.1.1
Download DSV File
5.1.2
Import DSV File
5.1.3
Inspect Data
5.1.4
Clean Data
5.1.5
Visualize Data
5.1.6
Export Data
5.2
Process Stock and Oil Prices
5.2.1
Web API
5.2.2
Download via
quantmod
5.2.3
Download via
Quandl
5.2.4
Clean Data
5.2.5
Plot Apple Stock Prices
5.2.6
Plot Crude Oil Prices
5.2.7
Merge Data
5.2.8
Transform Data
5.2.9
Tabulate Key Statistics
5.2.10
Visualize Correlations
5.3
Process House Price Data
5.3.1
Download Excel Workbook
5.3.2
Import Excel Workbook
5.3.3
Inspect and Clean Data
5.3.4
Reshape Data
5.3.5
Layered Line Graphs
5.3.6
Merge Data
5.3.7
Transform Data
5.3.8
Stationary Data
5.3.9
Export Data
5.3.10
Organize Data
5.3.11
Univariate Statistics
5.3.12
Associative Statistics
5.3.13
Layered Scatter Plots
5.4
Resources
6
Write Reports with R Markdown
6.1
Create an R Markdown Document
6.2
YAML Header
6.3
Markdown Syntax
6.4
R Chunks
6.5
Embed R Variables into Text
6.6
LaTeX Syntax for Math
6.7
Print Tables
6.8
Referencing
Setting Up
bookdown
Referencing Equations
Referencing Tables
Referencing Figures
Referencing Sections
6.9
Escape Characters
Escape in Markdown Text
Escape in Code Chunks
Escaped Characters
6.10
Summary and Resources
Part II
Part II: Measurement in Economics
7
Economic Data Sources
7.1
Types of Indicators
7.2
Data Source
7.2.1
Data Supplier vs. Distributor
7.2.2
Bureau of Economic Analysis (BEA)
7.2.3
U.S. Census Bureau
7.2.4
Bureau of Labor Statistics (BLS)
7.2.5
Federal Reserve Board of Governors
7.2.6
U.S. Department of the Treasury
7.2.7
Financial Market Exchanges
7.2.8
Federal Reserve Economic Data (FRED)
7.2.9
U.S. Department of Agriculture Economic Research Service (ERS)
7.2.10
Bloomberg
7.2.11
Yahoo Finance
7.2.12
Conclusion
8
Business Accounting
8.1
Accounting Standards
8.2
Accounting Equation
8.3
Balance Sheet
8.3.1
Assets
8.3.2
Liabilities
8.3.3
Equity
8.3.4
Transactions
8.3.5
Book vs. Market Value
8.3.6
Public Company
8.3.7
Financial Firm
8.4
Ledger
8.4.1
Ledger Accounts
8.4.2
T-Accounts
8.4.3
Basis for Financial Statements
8.5
Income Statement
8.5.1
Stock vs. Flow Variables
8.5.2
Profit Equation
8.5.3
Gross Profit
8.5.4
Operating Income (EBIT)
8.5.5
Net Income Before Taxes (EBT)
8.5.6
Net Income (EAT)
8.5.7
Transactions
8.5.8
Corporate Income Tax
8.6
Cash Flow Statement
8.6.1
Operating Activities
8.6.2
Investing Activities
8.6.3
Financing Activities
8.6.4
Net Change in Cash
8.6.5
Supplemental Information
8.6.6
Free Cash Flows
8.7
Conclusion
9
Financial Performance Indicators
9.1
Profitability Indicators
9.1.1
Net Profit Margin
9.1.2
Return on Assets (ROA)
9.1.3
Return on Investment (ROI)
9.1.4
Return on Equity (ROE)
9.1.5
Earnings Per Share (EPS)
9.1.6
Operating Margin
9.1.7
Dividend Yield
9.1.8
Gross Profit Margin
9.1.9
Return on Capital Employed (ROCE)
9.2
Liquidity Indicators
9.2.1
Current Ratio
9.2.2
Quick Ratio
9.2.3
Cash Ratio
9.2.4
Operating Cash Flow Ratio
9.3
Leverage Indicators
9.3.1
Debt-to-Equity (D/E) Ratio
9.3.2
Interest Coverage Ratio
9.3.3
Debt Ratio
9.3.4
Debt-to-Capital Ratio
9.3.5
Equity Multiplier
9.4
Efficiency Indicators
9.4.1
Asset Turnover Ratio
9.4.2
Inventory Turnover Ratio
9.4.3
Receivables Turnover Ratio
9.4.4
Payables Turnover Ratio
9.4.5
Days Sales Outstanding (DSO)
9.4.6
Fixed Asset Turnover Ratio
9.5
Valuation Indicators
9.5.1
Price-to-Book (P/B) Ratio
9.5.2
Price-to-Earnings (P/E) Ratio
9.5.3
Price-to-Sales (P/S) Ratio
9.5.4
Enterprise Value-to-EBITDA (EV/EBITDA)
9.5.5
Dividend Yield
9.5.6
Price-to-Cash Flow (P/CF) Ratio
9.6
Cash Flow Indicators
9.6.1
Free Cash Flow to Equity (FCFE)
9.6.2
Free Cash Flow to the Firm (FCFF)
9.6.3
Operating Cash Flow (OCF)
9.6.4
FCF Margin
9.6.5
Cash Conversion Cycle (CCC)
9.7
Temporal Dimensions
9.7.1
Trailing Twelve Months (TTM)
9.7.2
Annual Reporting
9.7.3
Quarterly and Monthly Reporting
9.7.4
Example and Explanation
9.8
Conclusion
10
Macroeconomic Accounting
10.1
Important Terms and Definitions
10.2
National Accounts
10.2.1
Production Approach
10.2.2
Expenditure Approach
10.2.3
Income Approach
10.2.4
Other Flow Measures
10.2.5
Stock Measures
10.2.6
Implicit Price Deflators
10.2.7
Data Collection
10.2.8
Resources
10.3
Balance of Payments
10.3.1
Current Account
10.3.2
Capital Account
10.3.3
Financial Account
10.3.4
Stock Measures
10.3.5
Data Collection
10.3.6
Resources
10.4
Labor Market Accounts
10.4.1
Labor Force
10.4.2
Employment, Unemployment, and Hours Worked
10.4.3
Productivity Measures
10.4.4
Wage and Labor Earnings
10.4.5
Job Vacancy and Turnover Rate
10.4.6
Job Creation and Destruction
10.4.7
Data Collection
10.4.8
Resources
10.5
Fiscal Accounts
10.5.1
Government Budget
10.5.2
Types of Taxes
10.5.3
Types of Subsidies
10.5.4
Non-Tax Revenue
10.5.5
Data Collection
10.5.6
Resources
10.6
Monetary and Financial Accounts
10.6.1
Monetary Aggregates
10.6.2
Interest Rates
10.6.3
Banking Reserves
10.6.4
Credit Aggregates
10.6.5
Exchange Rates
10.6.6
Parity Conditions
10.6.7
Industrial Production and Capacity Utilization
10.6.8
Data Collection
10.6.9
Resources
10.7
Price Level and Inflation
10.7.1
Implicit Measurement
10.7.2
Direct Measurement
10.7.3
Inflation
10.7.4
Data Collection
10.7.5
Resources
11
Financial Market Indicators
11.1
Interest Rates
11.1.1
Import CSV File
11.1.2
Plotting Historical Yields
11.1.3
Plotting Yield Curve
Part III
Part III: Economic Data Processing
12
Data Categorization
12.1
Qualitative vs. Quantitative
12.2
Discrete vs. Continuous
12.3
Levels of Measurement
12.3.1
Nominal Scale Variables
12.3.2
Ordinal Scale Variables
12.3.3
Interval Scale Variables
12.3.4
Ratio Scale Variables
12.4
Index vs. Absolute Data
12.4.1
Index Data
12.4.2
Absolute Data
12.5
Stock vs. Flow
12.5.1
Stock Variables
12.5.2
Flow Variables
12.5.3
Accounting
12.6
Data Dimensions
12.6.1
Cross-Sectional Data
12.6.2
Time Series Data
12.6.3
Panel Data
12.6.4
Spatial Data
12.6.5
Clustered Data
12.7
Conclusion
13
Data Transformation
13.1
Example Data
13.2
Growth
13.2.1
Definition
13.2.2
Log Approximation
13.2.3
Relativity
13.2.4
Return and Inflation
13.2.5
Applicability
13.3
Differentiation
13.3.1
Definition
13.3.2
Percentage Points (pp)
13.3.3
Basis Points (bp)
13.4
Natural Logarithm
13.4.1
Definition
13.4.2
Motivation
13.4.3
Applicability
13.5
Ratio
13.5.1
Definition
13.5.2
Per Capita
13.5.3
Real vs. Nominal
13.5.4
Growth of Ratios
13.6
Gap
13.7
Filtering
13.7.1
Frequency Filtering
13.7.2
Detrending
13.7.3
Seasonal Adjustment
14
Statistical Measures
15
Data Aggregation
15.1
Annualization
15.1.1
Motivation
15.1.2
Annualized Flow Variables
15.1.3
Annualized Growth Rates
15.1.4
Annualized Log-Difference
15.2
Year over Year (YoY)
15.2.1
Year over Year (YoY) Growth Rates
15.2.2
Comparing YoY Measures with Moving Averages
15.2.3
Sliding Window vs. Fixed Window Aggregation
Part IV
Part IV: Patterns in Economics
16
Temporal Patterns
16.1
Time Series Data
16.1.1
Definition
16.1.2
Features
16.1.3
Visualization
16.2
Trend
16.2.1
Sustained Growth
16.2.2
Decrease in Poverty
16.2.3
Aging Population
16.2.4
Productivity-Labor Trade-Off
16.2.5
Trend Inflation
16.2.6
Decline in Labor Share
16.3
Seasonality
16.3.1
Holiday Season
16.3.2
Seasonal Weather
16.3.3
Seasonal Employment
16.4
Business Cycle
16.4.1
Costs of Business Cycles
16.4.2
Cyclicality and Timing
16.4.3
Consumption Smoothing
17
Regional Patterns
17.1
Regional Data
17.2
County-Level Patterns
17.3
State-Level Patterns
17.4
Country-Level Patterns
18
Microeconomic Patterns
18.1
Microeconomic Data
18.2
Firm Patterns
18.3
Household Patterns
19
Causal Relationships
19.1
Elasticities
19.2
Multipliers
19.3
Causality
Part V
Part V: Insights From Real-Time Data and Surveys
20
Why Subjective Information Matters
21
Insights From Consumer Surveys
21.1
Introduction
21.2
Conducting the Survey
21.3
Michigan Consumer Indices
21.3.1
Index of Consumer Sentiment (ICS)
21.3.2
Index of Current Economic Conditions (ICC)
21.3.3
Index of Consumer Expectations (ICE)
21.3.4
Importing in R
21.3.5
Import TSV File
21.3.6
Plotting Consumer Indices
21.4
Creating Custom Consumer Indices
21.5
Importing and Cleaning Individual-Level Surveys
21.5.1
Data Source
21.5.2
Data Labels
21.5.3
Importing the Data Set
21.5.4
Long Format
21.5.5
Saving the Data
21.6
Exploring Individual-Level Data
21.7
Replicate ICS
21.8
Conclusion
22
Insights From Real-Time Data
23
Insights From Forecaster Data
23.1
Tealbook
23.1.1
Import Excel Workbook
23.1.2
Nowcast and Backcast
23.1.3
Information Date and Realization Date
23.1.4
Plotting Forecasts
23.1.5
Plotting Forecast Errors
Part VI
Part VI: Insights From Textual Data
24
Text Analysis and Mining
25
Insights From Google Trends
26
Insights From Newspapers
27
Insights From Social Media
Modules
Modules Overview
Textbook Engagement
Learn R with DataCamp
Prepare for the Course
XP System and Course Completion
Develop Your Skills
Data Report Instructions
Versions of the Data Report
Standards for the Two PDFs
Collaboration Guidelines
Example of a Data Report
Final Remarks
A
Introduction to R
A.1
Overview
A.2
Learning Objectives
A.3
Learning Activities & Assessments
A.4
Data Report on Stock Returns
B
Financial Performance Indicators
B.1
Overview
B.2
Learning Objectives
B.3
Learning Activities & Assessments
B.4
Data Report on Financial Performance Indicators
C
Macroeconomic Accounting
C.1
Overview
C.2
Learning Objectives
C.3
Learning Activities & Assessments
C.4
Data Report on Macroeconomic Indicators
D
Financial Market Indicators
D.1
Overview
D.2
Learning Objectives
D.3
Learning Activities & Assessments
D.4
Data Report on Yield Curves
E
Economic Data Processing
E.1
Overview
E.2
Learning Objectives
E.3
Learning Activities & Assessments
E.4
Data Report on Economic Growth
F
Temporal Patterns in Economics
F.1
Overview
F.2
Learning Objectives
F.3
Learning Activities & Assessments
F.4
Data Report on Temporal Patterns
G
Regional Patterns in Economics
G.1
Overview
G.2
Learning Objectives
G.3
Learning Activities & Assessments
G.4
Data Report on Regional Patterns
H
Insights From Consumer Surveys
H.1
Overview
H.2
Learning Objectives
H.3
Learning Activities & Assessments
H.4
Data Report on Consumer Indices
References
Julian F. Ludwig
Economic Data Analysis
Chapter 18
Microeconomic Patterns
18.1
Microeconomic Data
18.2
Firm Patterns
18.3
Household Patterns