Full prediction pipeline
import BeforeIT as Bit
using Dates, Plots
We start from loading the calibration object for italy, which contains 4 datasets: calibration_data
, figaro
, data
, and ea
. These are saved within BeforeIT.jl
for the Italian case, and would need to be appropriately generated for other countries.
cal = Bit.ITALY_CALIBRATION
fieldnames(typeof(cal))
(:calibration, :figaro, :data, :ea, :max_calibration_date, :estimation_date)
These are essentially 4 dictionaries with well defined keys, such as
println(keys(cal.calibration))
println(keys(cal.figaro))
println(keys(cal.data))
println(keys(cal.ea))
["social_benefits", "government_debt_quarterly", "capital_taxes", "interest_government_debt", "dwellings_eu7", "pension_benefits", "nace64_capital_consumption_eu20", "fixed_assets_eu7", "firm_interest", "dwellings", "nominal_nace64_output_eu20", "social_contributions", "nominal_nace64_output", "income_tax", "wages", "employees", "fixed_assets", "firms", "mixed_income", "nominal_nace64_output_eu7", "firm_debt_quarterly", "bank_equity_quarterly", "corporate_tax", "property_income", "household_cash_quarterly", "gross_capitalformation_dwellings", "gross_fixed_capitalformation", "unemployment_benefits", "population", "years_num", "government_deficit", "capital_consumption", "firm_cash_quarterly", "quarters_num", "nace64_capital_consumption"]
["intermediate_consumption", "household_consumption", "capitalformation", "operating_surplus", "compensation_employees", "imports", "government_consumption", "inventory_changes", "exports", "taxes_products_government", "fixed_capitalformation", "taxes_products", "years_num", "quarters_num", "taxes_production", "taxes_products_capitalformation", "taxes_products_household"]
["unemployment_rate", "nominal_nace10_gva_quarterly", "operating_surplus", "nominal_household_consumption_growth_quarterly", "nominal_exports", "real_capitalformation_growth", "household_consumption_deflator", "gdp_deflator_growth", "gva_deflator_quarterly", "capitalformation_deflator_growth", "nominal_final_consumption_growth_quarterly", "real_fixed_capitalformation_growth", "real_exports_growth", "nominal_imports", "nominal_nace10_gva_growth_quarterly", "gdp_deflator_quarterly", "capitalformation_deflator_quarterly", "real_government_consumption_growth_quarterly", "real_final_consumption", "real_capitalformation_quarterly", "nominal_capitalformation_growth", "fixed_capitalformation_deflator", "real_imports_growth", "nace10_gva_deflator", "real_household_consumption_growth", "fixed_capitalformation_deflator_growth", "real_gva", "nominal_final_consumption", "nominal_exports_quarterly", "real_household_consumption", "real_imports_quarterly", "real_nace10_gva_growth", "real_gva_growth_quarterly", "nominal_household_consumption_growth", "nominal_imports_quarterly", "employed_quarterly", "nace10_gva_deflator_growth", "nominal_capitalformation_growth_quarterly", "nace10_gva_deflator_quarterly", "real_government_consumption_growth", "nominal_government_consumption_quarterly", "final_consumption_deflator", "real_capitalformation_growth_quarterly", "compensation_employees", "gva_deflator_growth", "imports_deflator_quarterly", "real_household_consumption_growth_quarterly", "gdp_deflator_growth_quarterly", "nominal_gdp_quarterly", "exports_deflator_growth_quarterly", "government_consumption_deflator_growth_quarterly", "exports_deflator_quarterly", "real_exports_growth_quarterly", "wages", "nominal_nace10_gva", "gdp_deflator", "household_consumption_deflator_growth", "nominal_nace10_gva_growth", "nominal_gdp_growth", "nominal_household_consumption", "fixed_capitalformation_deflator_quarterly", "nominal_exports_growth_quarterly", "wages_quarterly", "nominal_exports_growth", "euribor", "years_num", "real_final_consumption_quarterly", "nominal_gva_quarterly", "quarters_num", "real_capitalformation", "nominal_government_consumption_growth", "real_final_consumption_growth", "nominal_imports_growth", "nominal_government_consumption", "imports_deflator_growth", "nominal_fixed_capitalformation_quarterly", "real_nace10_gva_quarterly", "nominal_final_consumption_quarterly", "compensation_employees_quarterly", "nominal_fixed_capitalformation_growth_quarterly", "real_gdp_growth", "real_government_consumption", "exports_deflator_growth", "nominal_gdp", "imports_deflator_growth_quarterly", "real_nace10_gva", "real_exports_quarterly", "government_consumption_deflator_growth", "real_fixed_capitalformation_growth_quarterly", "nominal_capitalformation_quarterly", "nominal_gdp_growth_quarterly", "employed", "imports_deflator", "euribor_yearly", "fixed_capitalformation_deflator_growth_quarterly", "real_imports", "real_final_consumption_growth_quarterly", "nominal_household_consumption_quarterly", "real_fixed_capitalformation", "household_consumption_deflator_growth_quarterly", "nominal_fixed_capitalformation_growth", "gva_deflator_growth_quarterly", "final_consumption_deflator_growth_quarterly", "unemployment_rate_quarterly", "nominal_gva_growth_quarterly", "nominal_government_consumption_growth_quarterly", "final_consumption_deflator_quarterly", "real_gva_growth", "government_consumption_deflator_quarterly", "real_gdp_growth_quarterly", "exports_deflator", "real_gdp_quarterly", "final_consumption_deflator_growth", "capitalformation_deflator_growth_quarterly", "real_fixed_capitalformation_quarterly", "real_gdp", "nominal_fixed_capitalformation", "real_nace10_gva_growth_quarterly", "nace10_gva_deflator_growth_quarterly", "real_government_consumption_quarterly", "government_consumption_deflator", "nominal_gva_growth", "household_consumption_deflator_quarterly", "real_household_consumption_quarterly", "capitalformation_deflator", "nominal_capitalformation", "operating_surplus_quarterly", "nominal_imports_growth_quarterly", "gva_deflator", "nominal_final_consumption_growth", "real_gva_quarterly", "nominal_gva", "real_imports_growth_quarterly", "real_exports"]
["nominal_nace10_gva_quarterly", "operating_surplus", "nominal_household_consumption_growth_quarterly", "nominal_exports", "real_capitalformation_growth", "household_consumption_deflator", "gdp_deflator_growth", "gva_deflator_quarterly", "capitalformation_deflator_growth", "nominal_final_consumption_growth_quarterly", "real_fixed_capitalformation_growth", "real_exports_growth", "nominal_imports", "nominal_nace10_gva_growth_quarterly", "gdp_deflator_quarterly", "capitalformation_deflator_quarterly", "real_government_consumption_growth_quarterly", "real_final_consumption", "real_capitalformation_quarterly", "nominal_capitalformation_growth", "fixed_capitalformation_deflator", "real_imports_growth", "nace10_gva_deflator", "real_household_consumption_growth", "fixed_capitalformation_deflator_growth", "real_gva", "nominal_final_consumption", "nominal_exports_quarterly", "real_household_consumption", "real_imports_quarterly", "real_nace10_gva_growth", "real_gva_growth_quarterly", "nominal_household_consumption_growth", "nominal_imports_quarterly", "employed_quarterly", "nace10_gva_deflator_growth", "nominal_capitalformation_growth_quarterly", "nace10_gva_deflator_quarterly", "real_government_consumption_growth", "nominal_government_consumption_quarterly", "final_consumption_deflator", "real_capitalformation_growth_quarterly", "compensation_employees", "gva_deflator_growth", "imports_deflator_quarterly", "real_household_consumption_growth_quarterly", "gdp_deflator_growth_quarterly", "nominal_gdp_quarterly", "exports_deflator_growth_quarterly", "government_consumption_deflator_growth_quarterly", "exports_deflator_quarterly", "real_exports_growth_quarterly", "wages", "nominal_nace10_gva", "gdp_deflator", "household_consumption_deflator_growth", "nominal_nace10_gva_growth", "nominal_gdp_growth", "nominal_household_consumption", "fixed_capitalformation_deflator_quarterly", "nominal_exports_growth_quarterly", "wages_quarterly", "nominal_exports_growth", "euribor", "years_num", "real_final_consumption_quarterly", "nominal_gva_quarterly", "quarters_num", "real_capitalformation", "nominal_government_consumption_growth", "real_final_consumption_growth", "nominal_imports_growth", "nominal_government_consumption", "imports_deflator_growth", "nominal_fixed_capitalformation_quarterly", "real_nace10_gva_quarterly", "nominal_final_consumption_quarterly", "compensation_employees_quarterly", "nominal_fixed_capitalformation_growth_quarterly", "real_gdp_growth", "real_government_consumption", "exports_deflator_growth", "nominal_gdp", "imports_deflator_growth_quarterly", "real_nace10_gva", "real_exports_quarterly", "government_consumption_deflator_growth", "real_fixed_capitalformation_growth_quarterly", "nominal_capitalformation_quarterly", "nominal_gdp_growth_quarterly", "employed", "imports_deflator", "euribor_yearly", "fixed_capitalformation_deflator_growth_quarterly", "real_imports", "real_final_consumption_growth_quarterly", "nominal_household_consumption_quarterly", "real_fixed_capitalformation", "household_consumption_deflator_growth_quarterly", "nominal_fixed_capitalformation_growth", "gva_deflator_growth_quarterly", "final_consumption_deflator_growth_quarterly", "nominal_gva_growth_quarterly", "nominal_government_consumption_growth_quarterly", "final_consumption_deflator_quarterly", "real_gva_growth", "government_consumption_deflator_quarterly", "real_gdp_growth_quarterly", "exports_deflator", "real_gdp_quarterly", "final_consumption_deflator_growth", "capitalformation_deflator_growth_quarterly", "real_fixed_capitalformation_quarterly", "real_gdp", "nominal_fixed_capitalformation", "real_nace10_gva_growth_quarterly", "nace10_gva_deflator_growth_quarterly", "real_government_consumption_quarterly", "government_consumption_deflator", "nominal_gva_growth", "household_consumption_deflator_quarterly", "real_household_consumption_quarterly", "capitalformation_deflator", "nominal_capitalformation", "operating_surplus_quarterly", "nominal_imports_growth_quarterly", "gva_deflator", "nominal_final_consumption_growth", "real_gva_quarterly", "nominal_gva", "real_imports_growth_quarterly", "real_exports"]
The object also contains two time variables related to the data
println(cal.max_calibration_date)
println(cal.estimation_date)
2016-12-31T00:00:00
1996-12-31T00:00:00
We can calibrate the model on a specific quarter as follows
calibration_date = DateTime(2014, 03, 31)
parameters, initial_conditions = Bit.get_params_and_initial_conditions(cal, calibration_date; scale = 0.0001)
(Dict{String, Any}("c_E_g" => [0.012978039260418144; 0.0003985263617433438; … ; 0.0006434280333680591; 0.0004140786749482401;;], "T" => 12, "C" => [3.77687305167792e-5 0.00012923423608098567 9.45113163679038e-5; 0.00012923423608098567 0.000663491534554835 0.0004584068148673688; 9.45113163679038e-5 0.0004584068148673688 0.0005118635764975763], "xi_pi" => 0.27069145241767517, "L" => 241.0, "sigma_E" => 0.0257583294208851, "H_act" => 2432.0, "beta_I" => 0.8302017836881574, "theta" => 0.05, "tau_SIW" => 0.12024155738392799…), Dict{String, Any}("sb_inact" => 15.429070158179169, "E_CB" => 1.6491452999999998e6, "C_G" => [75462.7361958504; 75470.76697506174; … ; 85025.00670758725; 84778.1145088606;;], "sb_other" => 3.032871600985167, "D_RoW" => 0.0, "L_I" => 1.17623e6, "omega" => 0.85, "r_bar" => 0.0007371844379666648, "N_s" => [38.0, 3.0, 2.0, 2.0, 36.0, 47.0, 10.0, 7.0, 8.0, 2.0 … 69.0, 142.0, 144.0, 106.0, 39.0, 11.0, 8.0, 12.0, 3.0, 21.0], "D_H" => 1.232064e6…))
We run the model for a number of quarters
T = 20
n_sims = 3
model = Bit.init_model(parameters, initial_conditions, T)
data_vector = Bit.ensemblerun(model, n_sims)
BeforeIT.DataVector{BeforeIT.Data}(BeforeIT.Data[BeforeIT.Data{Float64}([406824.6000000001, 408266.0551587818, 408227.0602827616, 407780.96629242983, 407623.26520566375, 407709.0681878411, 407553.31498586934, 406582.30887555314, 407662.2712990619, 408913.9274169848 … 409903.01117578545, 412049.89418365236, 413155.68553929793, 415616.55585661635, 418061.0291268322, 418916.7565177319, 421238.06368399685, 422470.9250826377, 423882.2361107839, 426914.7688592082], [406824.6000000001, 406814.5237004142, 405329.4348666079, 403446.9913237632, 401857.12307177635, 400512.6661417261, 398936.24070170114, 396570.7836296936, 396210.45777508704, 396013.9585067678 … 394154.1046932967, 394809.80407914467, 394461.8726563345, 395400.5913542105, 396312.10485473904, 395711.3994220513, 396489.4296660812, 396236.07074000995, 396146.2746309729, 397561.86155882693], [368073.802768679, 369387.1056932155, 369292.0160171293, 368815.9342382001, 368608.6463331473, 368631.0736187247, 368401.2699983282, 367421.1394545099, 368421.81282464677, 369533.36288729357 … 370285.17061521194, 372230.39815549157, 373199.6819641153, 375513.9647968494, 377767.8195435013, 378448.4772506386, 380537.2038589791, 381633.85695354687, 382859.2969450891, 385630.554228975], [368073.802768679, 368073.80276867887, 366670.75438187004, 364896.08716547664, 363394.39575433295, 362124.43047673505, 360612.0041692242, 358373.9036717125, 358072.3196395454, 357875.7289136947 … 356058.42339726933, 356656.34827847057, 356313.7349305846, 357248.62652887683, 358115.0819591215, 357484.808645165, 358179.8321007331, 357934.9275007494, 357807.59671417606, 359116.1800818234], [250287.9559823398, 251106.08761820625, 251636.15537413323, 252084.97083088884, 252600.7834430713, 253187.98447780716, 253968.85772836607, 254269.5232095384, 254736.15973741398, 255528.7384887114 … 257467.23246826004, 258652.53565794948, 259675.21506631665, 260352.87533566245, 261512.23504653887, 262907.63890186086, 264459.2338921809, 265349.2048131091, 266727.82755642856, 268255.3879059369], [250287.9559823398, 250213.31590485928, 249850.02360979078, 249405.7630113297, 249027.55260766024, 248719.00727883005, 248599.08540057475, 248008.48898523746, 247580.2583835055, 247467.59759533667 … 247575.06955192413, 247830.56219442777, 247925.84297560845, 247689.07642842951, 247907.49937401744, 248344.20702910982, 248921.69026420065, 248871.38983248666, 249274.97834392847, 249811.24844673803], [85155.3396251801, 84899.33956894114, 85580.06244564847, 85222.76874101414, 85728.56340751005, 85336.79509542597, 85234.37073535075, 86469.72967545995, 86678.9763277224, 87669.59623859443 … 88607.03107850628, 89250.65268594299, 89064.43778767376, 89742.66567779037, 89979.8255500725, 90625.93697107778, 91346.07198486626, 90392.31480986891, 91392.07969832084, 92352.28050472557], [85155.3396251801, 84597.49213239379, 84972.60892728863, 84317.00467399016, 84515.86746069702, 83830.53012672378, 83432.22393103308, 84340.53255411264, 84244.04049176442, 84903.89179562511 … 85202.65538938052, 85516.42215728285, 85034.59142998476, 85377.50139805133, 85298.7759530987, 85605.82928422895, 85979.29557165122, 84779.07831965122, 85412.0055500615, 86002.51674303184], [95465.87479994583, 99033.56505832911, 100639.88510137818, 99683.75830366337, 99303.63963493035, 99120.48811164408, 101232.8561982491, 96850.57075783734, 95185.83764012967, 97620.5410765057 … 95565.84256576255, 96668.76590136203, 92962.77920846244, 96612.94901163658, 100036.7313765882, 99433.22394563285, 99077.63508585212, 98606.68608609177, 96307.83393418911, 99016.51995313547], [95465.87479994583, 98681.46540835805, 99925.53586459204, 98624.30004302246, 97898.9138760649, 97370.92956827157, 99092.44656401736, 94465.75982767249, 92511.93196005642, 94540.91511991322 … 91894.10199188598, 92624.16291042365, 88756.54688387341, 91913.60794793317, 94832.48811172019, 93925.24787894751, 93256.61286232444, 92483.34861340818, 90006.10636779832, 92208.55043932078], [95465.87479994583, 95784.26571276522, 95729.13495302276, 95621.57664659045, 95711.24927540083, 95706.93247512139, 95534.76481079994, 95472.11979707239, 95776.56742505782, 95786.1975388549 … 96184.81426958565, 96910.70117547826, 96858.34324859615, 97744.08900037465, 98154.69008271646, 98315.26931882164, 99033.20484163995, 99069.74759292342, 99495.74675905502, 100246.35001856968], [95465.87479994583, 95443.71848102279, 95049.64257857298, 94605.2920381678, 94357.34061943798, 94017.62601021353, 93514.8323631305, 93121.25130929281, 93086.06730439898, 92764.43944398049 … 92489.29214931144, 92855.97565815633, 92475.85062361989, 92989.72826640704, 93048.35686142, 92869.22091659062, 93214.79298965304, 92917.65464746731, 92985.42392780304, 93353.82243710515], [22816.545185611736, 22875.72021202342, 22932.682320140888, 22980.363178092477, 23027.38526402137, 23080.915202725402, 23152.100528985622, 23179.50954876847, 23222.04868486769, 23294.301098377393 … 23471.016495260163, 23579.26313472037, 23672.298792364258, 23734.07510155714, 23839.763699818985, 23967.16621124822, 24108.910527938497, 24189.546387967788, 24315.22326280342, 24455.79403043283], [22816.545185611736, 22794.388866688678, 22769.90447022232, 22736.123434167555, 22701.64532781551, 22673.517971828962, 22662.585752005536, 22608.74628640236, 22569.708279815382, 22559.437989525883 … 22569.235259810142, 22592.711198222867, 22601.212178715425, 22579.62826109961, 22599.53995436518, 22639.535740873398, 22692.460651570644, 22687.409345096858, 22724.200949677106, 22774.314007966666], [96573.59559916146, 100817.56598233861, 104187.39692143249, 102369.23391483208, 103405.55594697977, 100743.27060150419, 101132.32608562318, 103730.5130865542, 104256.07224766853, 100984.99371513848 … 98320.99867788606, 102354.7909696294, 106440.93861308321, 104810.15327646716, 104354.68223820829, 100429.54409182715, 103949.84704777847, 99818.49711183195, 99173.86522934797, 101635.93236790723], [96573.59559916146, 100459.12357271301, 103447.86718728584, 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0.001523841016922414, 0.0011698767579441027, 0.0020527800075628494 … 0.0023773137304933544, 0.0015587689940116983, 0.001320157566510075, 0.0004166209296461151, 0.0007964801529633686, 0.0005917581862576766, 0.00032482305546156277, 0.0010260484354507658, 0.0003042303660502528, 2.5190551470018814e-5], [6601.045318313601 438.5104718872319 … 474.4884433986952 4691.210485421613; 6624.59812771305 440.07509583177136 … 476.1814382700692 4707.948923212564; … ; 6949.479294803361 467.2949766561237 … 505.24369510240274 5042.626890667767; 7047.857707373398 472.50284374330005 … 506.66988614459643 5067.551486486508], [6601.045318313601 438.5104718872319 … 474.4884433986952 4691.210485421613; 6601.0453183136 438.51047188723186 … 474.48844339869515 4691.210485421612; … ; 6494.752784454809 436.71838163019964 … 472.1839948567564 4712.671791629227; 6563.275938268535 440.0154875231731 … 471.83334432235677 4719.127445265792])])
We obtain predictions from the model simulations
real_data = cal.data
predictions_dict = Bit.get_predictions_from_sims(data_vector, real_data, calibration_date)
Dict{String, Any} with 107 entries:
"operating_surplus" => [7.74594e5 7.74594e5 7.74594e5; 7.78474e5 7.8973…
"nominal_household_consu… => [0.001 0.001 0.001; 0.00326876 0.00356804 0.0017…
"real_exports_growth" => [0.026 0.026 0.026; 0.0257854 0.0686915 -0.01523…
"real_capitalformation_g… => [0.01 0.01 0.01; 0.0299126 0.0276317 0.0284499; …
"nominal_exports" => [4.73719e5 4.73719e5 4.73719e5; 495299.0 5.16057…
"real_fixed_capitalforma… => [-0.022 -0.022 -0.022; -0.0132549 0.0007344 0.00…
"nominal_imports" => [4.26596e5 4.26596e5 4.26596e5; 4.66733e5 4.6824…
"gdp_deflator_growth" => [0.009 0.009 0.009; 0.0184519 0.0184519 0.018451…
"gva_deflator_quarterly" => [1.04343 1.04343 1.04343; 1.04715 1.04715 1.0471…
"household_consumption_d… => [1.07058 1.07058 1.07058; 1.09189 1.09189 1.0918…
"capitalformation_deflat… => [0.003 0.003 0.003; 0.0291674 0.0291674 0.029167…
"gdp_deflator_growth_ea_… => [0.00524809 0.00524809 0.00524809; 0.00303939 0.…
"real_gdp_ea_quarterly" => [2.42026e6 2.42026e6 2.42026e6; 2.43976e6 2.4281…
"gdp_deflator_quarterly" => [1.05179 1.05179 1.05179; 1.05554 1.05554 1.0555…
"capitalformation_deflat… => [1.0473 1.0473 1.0473; 1.05104 1.05104 1.05104; …
"real_government_consump… => [-0.002 -0.002 -0.002; -0.00655094 -0.00169229 -…
"fixed_capitalformation_… => [1.03637 1.03637 1.03637; 1.05248 1.05248 1.0524…
"real_capitalformation_q… => [67250.7 67250.7 67250.7; 69515.9 69143.8 68205.…
"nominal_capitalformatio… => [0.013 0.013 0.013; 0.0599146 0.0576007 0.058466…
⋮ => ⋮
Finally, we can plot the predictions against the real data
crop = true
p1 = Bit.plot_model_vs_real(predictions_dict, real_data, "real_gdp_quarterly"; crop = crop)
p2 = Bit.plot_model_vs_real(predictions_dict, real_data, "real_household_consumption_quarterly"; crop = crop)
p3 = Bit.plot_model_vs_real(predictions_dict, real_data, "real_fixed_capitalformation_quarterly"; crop = crop)
p4 = Bit.plot_model_vs_real(predictions_dict, real_data, "real_government_consumption_quarterly"; crop = crop)
p5 = Bit.plot_model_vs_real(predictions_dict, real_data, "real_exports_quarterly"; crop = crop)
p6 = Bit.plot_model_vs_real(predictions_dict, real_data, "real_imports_quarterly"; crop = crop)
plot(p1, p2, p3, p4, p5, p6, layout = (3, 2), legend = false)