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moritzpschwarz / osem

A novel Open-Source Empircial Macro (OSEM) Model to study Climate Policies and the wider Macro-economy that can easily be applied to all EU countries
http://moritzschwarz.org/osem/
GNU Affero General Public License v3.0
4 stars 4 forks source link

Fix nowcasting for estimated relationships #31

Open moritzpschwarz opened 5 months ago

moritzpschwarz commented 5 months ago

Currently nowcasting focuses on the exogenous values. But we also need to implement this for the estimated relationships.

image

This is overall an issue with using EDGAR. At the moment their data only goes back to Q3 2021. So all of the time since then is not estimated.

moritzpschwarz commented 2 months ago

See the example here:

Common Data

 specification <- dplyr::tibble(
    type = c(
      "n"
    ),
    dependent = c(
      "EmiCO2Combustion"
    ),
    independent = c(
      "FinConsExpHH + GCapitalForm"
    )
  )

  aggregate.model::dict %>%
    dplyr::mutate(dataset_id = dplyr::case_when(model_varname == "FinConsExpHH" ~ "nama_10_gdp",
                                                model_varname == "GCapitalForm" ~ "nama_10_gdp",
                                                TRUE ~ dataset_id)) -> dict_new

  testdata_annual <- structure(list(
    unit = c("CLV05_MEUR", "CLV05_MEUR", "CLV05_MEUR",
             "CLV05_MEUR", "CLV05_MEUR", "CLV05_MEUR", "CLV05_MEUR", "CLV05_MEUR",
             "CLV05_MEUR", "CLV05_MEUR", "CLV05_MEUR", "CLV05_MEUR", "CLV05_MEUR",
             "CLV05_MEUR", "CLV05_MEUR", "CLV05_MEUR", "CLV05_MEUR", "CLV05_MEUR",
             "CLV05_MEUR", "CLV05_MEUR", "CLV05_MEUR", "CLV05_MEUR", "CLV05_MEUR",
             "CLV05_MEUR", "CLV05_MEUR", "CLV05_MEUR", "CLV05_MEUR", "CLV05_MEUR",
             "CLV05_MEUR", "CLV05_MEUR", "CLV05_MEUR", "CLV05_MEUR", "CLV05_MEUR",
             "CLV05_MEUR", "CLV05_MEUR", "CLV05_MEUR", "CLV05_MEUR", "CLV05_MEUR",
             "CLV05_MEUR", "CLV05_MEUR", "CLV05_MEUR", "CLV05_MEUR", "CLV05_MEUR",
             "CLV05_MEUR", "CLV05_MEUR", "CLV05_MEUR", "CLV05_MEUR", "CLV05_MEUR",
             "CLV05_MEUR", "CLV05_MEUR", "CLV05_MEUR", "CLV05_MEUR", "CLV05_MEUR",
             "CLV05_MEUR", "CLV05_MEUR", "CLV05_MEUR", "CLV05_MEUR", "CLV05_MEUR",
             NA, NA, NA, NA, NA, NA, NA, NA, NA, NA, NA, NA, NA, NA, NA, NA,
             NA, NA, NA, NA, NA, NA, NA, NA, NA, NA, NA, NA, NA, NA, NA, NA,
             NA, NA, NA, NA, NA, NA, NA, NA, NA, NA, NA, NA, NA, NA, NA, NA,
             NA, NA, NA, NA, NA, NA, NA, NA, NA, NA, NA, NA, NA, NA, NA, NA,
             NA, NA, NA, NA, NA, NA, NA, NA, NA, NA, NA, NA, NA, NA, NA, NA,
             NA, NA, NA, NA, NA, NA, NA, NA, NA, NA, NA, NA, NA, NA, NA, NA,
             NA, NA, NA, NA, NA, NA, NA, NA, NA, NA, NA, NA, NA, NA, NA, NA,
             NA, NA, NA, NA, NA, NA, NA, NA, NA, NA, NA, NA, NA, NA, NA, NA,
             NA, NA, NA, NA, NA, NA, NA, NA, NA, NA, NA, NA, NA, NA, NA, NA,
             NA, NA, NA, NA, NA, NA, NA, NA, NA, NA, NA, NA, NA, NA, NA, NA,
             NA, NA, NA, NA, NA, NA, NA, NA, NA, NA, NA, NA, NA, NA, NA, NA,
             NA, NA, NA, NA, NA, NA, NA, NA, NA, NA, NA, NA, NA, NA, NA, NA,
             NA, NA, NA, NA, NA, NA, NA, NA, NA, NA, NA, NA, NA, NA, NA, NA,
             NA, NA, NA, NA),
    na_item = c("GCapitalForm", "GCapitalForm",
                "GCapitalForm", "GCapitalForm", "GCapitalForm", "GCapitalForm",
                "GCapitalForm", "GCapitalForm", "GCapitalForm", "GCapitalForm",
                "GCapitalForm", "GCapitalForm", "GCapitalForm", "GCapitalForm",
                "GCapitalForm", "GCapitalForm", "GCapitalForm", "GCapitalForm",
                "GCapitalForm", "GCapitalForm", "GCapitalForm", "GCapitalForm",
                "GCapitalForm", "GCapitalForm", "GCapitalForm", "GCapitalForm",
                "GCapitalForm", "GCapitalForm", "GCapitalForm", "FinConsExpHH",
                "FinConsExpHH", "FinConsExpHH", "FinConsExpHH", "FinConsExpHH",
                "FinConsExpHH", "FinConsExpHH", "FinConsExpHH", "FinConsExpHH",
                "FinConsExpHH", "FinConsExpHH", "FinConsExpHH", "FinConsExpHH",
                "FinConsExpHH", "FinConsExpHH", "FinConsExpHH", "FinConsExpHH",
                "FinConsExpHH", "FinConsExpHH", "FinConsExpHH", "FinConsExpHH",
                "FinConsExpHH", "FinConsExpHH", "FinConsExpHH", "FinConsExpHH",
                "FinConsExpHH", "FinConsExpHH", "FinConsExpHH", "FinConsExpHH",
                "EmiCO2Combustion", "EmiCO2Combustion", "EmiCO2Combustion", "EmiCO2Combustion",
                "EmiCO2Combustion", "EmiCO2Combustion", "EmiCO2Combustion", "EmiCO2Combustion",
                "EmiCO2Combustion", "EmiCO2Combustion", "EmiCO2Combustion", "EmiCO2Combustion",
                "EmiCO2Combustion", "EmiCO2Combustion", "EmiCO2Combustion", "EmiCO2Combustion",
                "EmiCO2Combustion", "EmiCO2Combustion", "EmiCO2Combustion", "EmiCO2Combustion",
                "EmiCO2Combustion", "EmiCO2Combustion", "EmiCO2Combustion", "EmiCO2Combustion",
                "EmiCO2Combustion", "EmiCO2Combustion", "EmiCO2Combustion", "EmiCO2Combustion",
                "EmiCO2Combustion", "EmiCO2Combustion", "EmiCO2Combustion", "EmiCO2Combustion",
                "EmiCO2Combustion", "EmiCO2Combustion", "EmiCO2Combustion", "EmiCO2Combustion",
                "EmiCO2Combustion", "EmiCO2Combustion", "EmiCO2Combustion", "EmiCO2Combustion",
                "EmiCO2Combustion", "EmiCO2Combustion", "EmiCO2Combustion", "EmiCO2Combustion",
                "EmiCO2Combustion", "EmiCO2Combustion", "EmiCO2Combustion", "EmiCO2Combustion",
                "EmiCO2Combustion", "EmiCO2Combustion", "EmiCO2Combustion", "EmiCO2Combustion",
                "EmiCO2Combustion", "EmiCO2Combustion", "EmiCO2Combustion", "EmiCO2Combustion",
                "EmiCO2Combustion", "EmiCO2Combustion", "EmiCO2Combustion", "EmiCO2Combustion",
                "EmiCO2Combustion", "EmiCO2Combustion", "EmiCO2Combustion", "EmiCO2Combustion",
                "EmiCO2Combustion", "EmiCO2Combustion", "EmiCO2Combustion", "EmiCO2Combustion",
                "EmiCO2Combustion", "EmiCO2Combustion", "EmiCO2Combustion", "EmiCO2Combustion",
                "EmiCO2Combustion", "EmiCO2Combustion", "EmiCO2Combustion", "EmiCO2Combustion",
                "EmiCO2Combustion", "EmiCO2Combustion", "EmiCO2Combustion", "EmiCO2Combustion",
                "EmiCO2Combustion", "EmiCO2Combustion", "EmiCO2Combustion", "EmiCO2Combustion",
                "EmiCO2Combustion", "EmiCO2Combustion", "EmiCO2Combustion", "EmiCO2Combustion",
                "EmiCO2Combustion", "EmiCO2Combustion", "EmiCO2Combustion", "EmiCO2Combustion",
                "EmiCO2Combustion", "EmiCO2Combustion", "EmiCO2Combustion", "EmiCO2Combustion",
                "EmiCO2Combustion", "EmiCO2Combustion", "EmiCO2Combustion", "EmiCO2Combustion",
                "EmiCO2Combustion", "EmiCO2Combustion", "EmiCO2Combustion", "EmiCO2Combustion",
                "EmiCO2Combustion", "EmiCO2Combustion", "EmiCO2Combustion", "EmiCO2Combustion",
                "EmiCO2Combustion", "EmiCO2Combustion", "EmiCO2Combustion", "EmiCO2Combustion",
                "EmiCO2Combustion", "EmiCO2Combustion", "EmiCO2Combustion", "EmiCO2Combustion",
                "EmiCO2Combustion", "EmiCO2Combustion", "EmiCO2Combustion", "EmiCO2Combustion",
                "EmiCO2Combustion", "EmiCO2Combustion", "EmiCO2Combustion", "EmiCO2Combustion",
                "EmiCO2Combustion", "EmiCO2Combustion", "EmiCO2Combustion", "EmiCO2Combustion",
                "EmiCO2Combustion", "EmiCO2Combustion", "EmiCO2Combustion", "EmiCO2Combustion",
                "EmiCO2Combustion", "EmiCO2Combustion", "EmiCO2Combustion", "EmiCO2Combustion",
                "EmiCO2Combustion", "EmiCO2Combustion", "EmiCO2Combustion", "EmiCO2Combustion",
                "EmiCO2Combustion", "EmiCO2Combustion", "EmiCO2Combustion", "EmiCO2Combustion",
                "EmiCO2Combustion", "EmiCO2Combustion", "EmiCO2Combustion", "EmiCO2Combustion",
                "EmiCO2Combustion", "EmiCO2Combustion", "EmiCO2Combustion", "EmiCO2Combustion",
                "EmiCO2Combustion", "EmiCO2Combustion", "EmiCO2Combustion", "EmiCO2Combustion",
                "EmiCO2Combustion", "EmiCO2Combustion", "EmiCO2Combustion", "EmiCO2Combustion",
                "EmiCO2Combustion", "EmiCO2Combustion", "EmiCO2Combustion", "EmiCO2Combustion",
                "EmiCO2Combustion", "EmiCO2Combustion", "EmiCO2Combustion", "EmiCO2Combustion",
                "EmiCO2Combustion", "EmiCO2Combustion", "EmiCO2Combustion", "EmiCO2Combustion",
                "EmiCO2Combustion", "EmiCO2Combustion", "EmiCO2Combustion", "EmiCO2Combustion",
                "EmiCO2Combustion", "EmiCO2Combustion", "EmiCO2Combustion", "EmiCO2Combustion",
                "EmiCO2Combustion", "EmiCO2Combustion", "EmiCO2Combustion", "EmiCO2Combustion",
                "EmiCO2Combustion", "EmiCO2Combustion", "EmiCO2Combustion", "EmiCO2Combustion",
                "EmiCO2Combustion", "EmiCO2Combustion", "EmiCO2Combustion", "EmiCO2Combustion",
                "EmiCO2Combustion", "EmiCO2Combustion", "EmiCO2Combustion", "EmiCO2Combustion",
                "EmiCO2Combustion", "EmiCO2Combustion", "EmiCO2Combustion", "EmiCO2Combustion",
                "EmiCO2Combustion", "EmiCO2Combustion", "EmiCO2Combustion", "EmiCO2Combustion",
                "EmiCO2Combustion", "EmiCO2Combustion", "EmiCO2Combustion", "EmiCO2Combustion",
                "EmiCO2Combustion", "EmiCO2Combustion", "EmiCO2Combustion", "EmiCO2Combustion"
    ),
    geo = c("AT", "AT", "AT", "AT", "AT", "AT", "AT", "AT", "AT",
            "AT", "AT", "AT", "AT", "AT", "AT", "AT", "AT", "AT", "AT", "AT",
            "AT", "AT", "AT", "AT", "AT", "AT", "AT", "AT", "AT", "AT", "AT",
            "AT", "AT", "AT", "AT", "AT", "AT", "AT", "AT", "AT", "AT", "AT",
            "AT", "AT", "AT", "AT", "AT", "AT", "AT", "AT", "AT", "AT", "AT",
            "AT", "AT", "AT", "AT", "AT", "AT", "AT", "AT", "AT", "AT", "AT",
            "AT", "AT", "AT", "AT", "AT", "AT", "AT", "AT", "AT", "AT", "AT",
            "AT", "AT", "AT", "AT", "AT", "AT", "AT", "AT", "AT", "AT", "AT",
            "AT", "AT", "AT", "AT", "AT", "AT", "AT", "AT", "AT", "AT", "AT",
            "AT", "AT", "AT", "AT", "AT", "AT", "AT", "AT", "AT", "AT", "AT",
            "AT", "AT", "AT", "AT", "AT", "AT", "AT", "AT", "AT", "AT", "AT",
            "AT", "AT", "AT", "AT", "AT", "AT", "AT", "AT", "AT", "AT", "AT",
            "AT", "AT", "AT", "AT", "AT", "AT", "AT", "AT", "AT", "AT", "AT",
            "AT", "AT", "AT", "AT", "AT", "AT", "AT", "AT", "AT", "AT", "AT",
            "AT", "AT", "AT", "AT", "AT", "AT", "AT", "AT", "AT", "AT", "AT",
            "AT", "AT", "AT", "AT", "AT", "AT", "AT", "AT", "AT", "AT", "AT",
            "AT", "AT", "AT", "AT", "AT", "AT", "AT", "AT", "AT", "AT", "AT",
            "AT", "AT", "AT", "AT", "AT", "AT", "AT", "AT", "AT", "AT", "AT",
            "AT", "AT", "AT", "AT", "AT", "AT", "AT", "AT", "AT", "AT", "AT",
            "AT", "AT", "AT", "AT", "AT", "AT", "AT", "AT", "AT", "AT", "AT",
            "AT", "AT", "AT", "AT", "AT", "AT", "AT", "AT", "AT", "AT", "AT",
            "AT", "AT", "AT", "AT", "AT", "AT", "AT", "AT", "AT", "AT", "AT",
            "AT", "AT", "AT", "AT", "AT", "AT", "AT", "AT", "AT", "AT", "AT",
            "AT", "AT", "AT", "AT", "AT", "AT", "AT", "AT", "AT", "AT", "AT",
            "AT", "AT", "AT", "AT", "AT", "AT", "AT", "AT"),
    time = structure(c(788918400,
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                       1009843200, 1041379200, 1072915200, 1104537600, 1136073600, 1167609600,
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                       1648771200, 1656633600, 1664582400), class = c("POSIXct", "POSIXt"), tzone = "UTC"),
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               14068.1572816783, 12753.9011493272, 17859.5510556265, 19174.9026574395,
               14431.8864434811, 13029.6862606859, 17460.2042167926, 17071.8186973067,
               13953.0411694103, 12684.0721360015, 16706.5246288538, 17879.0043106231,
               13666.9436586921, 12643.4073460136, 17364.3648538143, 17815.0124755873,
               13814.2707143814, 12392.2834008, 17946.5252344025, 19415.437830094,
               14151.9130170292, 12894.1789396974, 17696.1419813414, 18300.9587805413,
               13667.4190868271, 12513.742169421, 16822.2690710381, 18444.0433680085,
               14188.3213344043, 12955.7002081601, 17138.7091336328, 17021.7734696453,
               12874.0395869261, 11683.0994280262, 15742.4921598523, 18197.1728652289,
               13218.7606761543, 12024.3957016646, 16554.9047761597, 17246.2016120506,
               12091.2922992026, 11095.2575219905, 15427.8237698063)),
    class = c("tbl_df",
              "tbl", "data.frame"), row.names = c(NA, -270L))

with constrain.to.minimum.sample

  test <- run_model(specification = specification,
                    dictionary = dict_new,
                    #save_to_disk = "data-raw/test/test.xlsx",
                    primary_source = "local",
                    inputdata_directory = testdata_annual %>% dplyr::mutate(time = as.Date(time)),
                    max.ar = 1, # for annual models, would not go beyond 1 (otherwise sample is too short)
                    max.dl = 1, # for annual models, would not go beyond 1 (otherwise sample is too short)
                    max.block.size = 5,
                    use_logs = "both",
                    constrain.to.minimum.sample = TRUE)

  test_fc <- forecast_model(test, plot.forecast = FALSE)
  plot(test_fc, exclude.exogenous = FALSE)

image

with full sample

  test <- run_model(specification = specification,
                    dictionary = dict_new,
                    #save_to_disk = "data-raw/test/test.xlsx",
                    primary_source = "local",
                    inputdata_directory = testdata_annual %>% dplyr::mutate(time = as.Date(time)),
                    max.ar = 1, # for annual models, would not go beyond 1 (otherwise sample is too short)
                    max.dl = 1, # for annual models, would not go beyond 1 (otherwise sample is too short)
                    max.block.size = 5,
                    use_logs = "both",
                    constrain.to.minimum.sample = FALSE)

  test_fc <- forecast_model(test, plot.forecast = FALSE)
  plot(test_fc, exclude.exogenous = TRUE)

image