vmdetrendmt¶
Purpose¶
Returns residuals from a regression of data on a time trend polynomial.
Format¶
-
res =
vmdetrendmt(y, p)¶ - Parameters:
y (TxL matrix) – data.
p (scalar) – If p = -1 returns the data. Use p = 0 for demeaning, p = 1 for regression against a constant term and trend, p > 1 for a higher order polynomial time trend.
- Returns:
res (TxL matrix) – residuals
Example¶
new;
cls;
library tsmt;
// Step One: data
yt = loadd( getGAUSSHome() $+ "pkgs/tsmt/examples/panel_g.csv" );
// U.K.
y_uk = yt[., 7];
// Demean data - use p=0
y_uk_demeaned = vmdetrendmt( y_uk, 0 );
// Detrend data = use p=1
y_uk_detrend = vmdetrendmt( y_uk, 1 );
// Plot all three together
struct plotControl myPlot;
myPlot = plotGetDefaults( "xy" );
// Add legend
label = "Orig"$|"Demeaned"$|"Detrended";
plotSetLegend(&myplot, label, "top left", 1);
plotTS( myPlot, 19800101, 4, y_uk~y_uk_demeaned~y_uk_detrend );
Library¶
tsmt
Source¶
varmamt.src