Grocer Function
NAME
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
1) xdt=detrend(x,0)
2) xdt=detrend(x,1)
3) r0t = detrend(trimr(dx,grocer_k,0),f) (see johansen.sci)
Example 1 simply demeans x, example 2 detrends it by a linear trend, example 3 taken from the function johansen detrends variable trimr(dx,grocer_k,0) by a trend of order f.
AUTHOR
Eric Dubois 2002