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