<< defaultcoef Basic functions dmult >>

Grocer >> Basic functions > detrend

detrend

detrend a matrix

CALLING SEQUENCE

[resid]=detrend(y,p)

PARAMETERS

Input

* y = input matrix (or vector) of time-series (nobs x nvar)

* p = trend degree

  . p = 0, subtracts mean

  . p = 1, constant plus trend model

  . p > 1, higher order polynomial model

  . p = -1, returns y

 

Output

* resid = residuals from the detrending regression

DESCRIPTION

Detrends a matrix y using regression of y against a polynomial time trend of order p

EXAMPLE

x=grand(15,1,'nor',0,0.1)+[1:15]'
xdt=detrend(x,0)
// simply demeans x
 
xdt=detrend(x,1)
// detrends it by a linear trend
 
r0t = detrend(trimr(dx,grocer_k,0),f) (see johansen.sci)
// taken from the function johansen detrends variable trimr(dx,grocer_k,0) by a trend of order f.

AUTHOR

Eric Dubois 2002

Report an issue
<< defaultcoef Basic functions dmult >>