vmsdetrend

Purpose

Seasonally detrends data.

Format

y_detrended = vmsdetrend(y, freq, seas)

Parameters:

• y (matrix) – Tx1, data to be detrended.
• freq (Scalar) – frequency of the data per year. Valid options include: [1] Yearly [4] Quarterly [12] Monthly.
• seas (Scalar) – number of observations per season.

Returns:

y_detrended (matrix) – detrended data.

Example

new;
cls;
library tsmt;

// Generate random data
y = rndn((25*12),1);

// Monthly frequency
freq = 12;

// Seasonal dummy component every three months
seas = 3;

// Detrend data
{ y_d, beta } = vmsdetrend(y, freq, seas);

Library

tsmt

Source

vmsdetrend.src