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