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Support creation of pseudo-vintages #11

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micahjsmith opened this issue Nov 8, 2018 · 0 comments
Open

Support creation of pseudo-vintages #11

micahjsmith opened this issue Nov 8, 2018 · 0 comments

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@micahjsmith
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micahjsmith commented Nov 8, 2018

Most series do not have vintage data available before certain dates. For example, Fred does not have GDPC1 vintages from before 1991. However, you might like to do the best you can and create "pseudo-vintages".

In particular, you might not have the 01-Jan-1989 GDPC1 vintage, but you can take the first available vintage for the series from 12-Dec-1991, and chop off enough of the 1989 and 1990 releases to simulate publication lags, constructing an information set close to what you would have had at 01-Jan-1989.

Use the median publication delay (computed over the entire available history of the series) to discard observations.

API would be something like

get_data(f, "GDPC1"; vintage_dates="1989-01-01", pseudo_vintage=true)

See also: https://github.com/MattCocci/FredFetch/blob/master/%2Bfred/vintsFromAll_.m

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