vmdiffmt¶
Purpose¶
Differences matrices.
Format¶
-
y =
vmdiffmt
(x, d)¶ - Parameters
x (TxK matrix) – data.
d (scalar) – the number of periods over which differencing occurs.
- Returns
y ((T-d)xK matrix) – the differenced data.
Example¶
new;
cls;
library tsmt;
//Step One: data
//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_diff = vmdiffdmt( y_uk, 1 );
//Plots
struct plotControl myPlot;
myPlot = plotGetDefaults( "xy" );
//Title of first graph
plotSetTitle( &myPlot, "Original", "Arial", 16 );
//Set layout
plotLayout( 2, 1, 1 );
plotTS( myPlot, 19800101, 4, y_uk );
//Title of first graph
plotSetTitle( &myPlot, "First Difference", "Arial", 16 );
//Set layout
plotLayout( 2, 1, 2 );
plotTS( myPlot, 19800101, 4, y_uk_diff );
Library¶
tsmt
Source¶
vmutilsmt.src