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
yt = loadd( getGAUSSHome() $+ "pkgs/tsmt/examples/panel_g.csv", "date($Date) + ." );

// U.K.
y_uk = yt[., "UK"];

// First difference of data
y_uk_diff = vmdiffmt( 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