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