tsdiff¶
Purpose¶
Differences matrices with or without seasonality.
Format¶
-
y =
tsdiff(x, d[, s])¶ - Parameters
x (TxK matrix) – Data.
d (scalar) – Order of differencing, the number of periods over which differencing occurs.
s (scalar) – Optional argument, seasonal parameter.
- Returns
y (Matrix) – Differenced data.
Example¶
new;
cls;
library tsmt;
// Step One: data
yt = loadd( getGAUSSHome() $+ "pkgs/tsmt/examples/panel_g.csv", "date($Date) + ." );
// U.K.
y_uk = yt[., "UK"];
/*
** Set up parameters
*/
// Order of differencing
d = 1;
// Seasonal adjustment
s = 4;
// First difference of data
y_uk_diff = tsdiff(y_uk, d);
// First difference of data
// adjusted for seasonality
y_uk_sdiff = tsdiff(y_uk, d, s);
Library¶
tsmt
Source¶
vmutilsmt.src