A VBA-Module for Converting Integrated Variables into Negative and Positive Cumulative Partial Sums

Abdulnasser Hatemi-J, Alan Mustafa

    Research output: Chapter in Book/Report/Conference proceedingConference contribution

    Abstract

    The objective of this paper is to present our software component entitled TDICPS. We demonstrated how this software component can be utilized by practitioners that are interested in transforming time-series variables into positive and negative parts to account for asymmetric impacts in empirical analyses. TDICPS is created by authors in VBA (Visual Basics for Applications) and it is a module for MS-Excel, which can convert a time-series variable into partial cumulative sums of positive and negative components. It also provides the graphs of these components for a large sample size consisting of more than one million values potentially. The software has also numerous options. In addition to the stochastic trend, the variable can have deterministic fragments also, such as both the drift and the trend or only the drift. Furthermore, an application is provided for decomposing the consumer price index and the interest rates of the US economy into partial segments of positive and negative variations. Any other potential variables can also be decomposed in a similar manner. The decomposed data can then be utilized for conducting asymmetric causality tests or producing the asymmetric impulse response functions as introduced by Hatemi-J (Empir Econ 43:447–456 [5]; Econ Model 36:18–22 [6]). This code is accessible at (Appl Comput Inform. forthcoming. [20]; https://github.com/alanmustafa/Transforming_Data_Into_Cumulative_Partial_Sums [25]).

    Original languageEnglish
    Title of host publicationDigital Economy, Business Analytics, and Big Data Analytics Applications
    EditorsSaad G. Yaseen
    PublisherSpringer Science and Business Media Deutschland GmbH
    Pages135-148
    Number of pages14
    ISBN (Print)9783031052576
    DOIs
    Publication statusPublished - 2022
    Event17th Annual Scientific International Conference for Business on Digital Economy and Business Analytics, SICB 2021 - Amman, Jordan
    Duration: Oct 25 2021Oct 27 2021

    Publication series

    NameStudies in Computational Intelligence
    Volume1010
    ISSN (Print)1860-949X
    ISSN (Electronic)1860-9503

    Conference

    Conference17th Annual Scientific International Conference for Business on Digital Economy and Business Analytics, SICB 2021
    Country/TerritoryJordan
    CityAmman
    Period10/25/2110/27/21

    Keywords

    • Asymmetry
    • CPI
    • Dynamic models
    • Negative changes
    • Positive changes
    • Software-component
    • The US interest rates
    • The VBA

    ASJC Scopus subject areas

    • Artificial Intelligence

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