Detrended time series

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  Mohamad

  2013年01月23日 16:36

  There are three ways to detrend a time series:

  1. Linear detrend - Run a linear regression of your time series on t (time) and subtract that trend out. Use NxTrend function with a linear trend-type. This is method is often applied for time series with a non-stochastic/deterministic trend pattern.
  2. Difference filter- Run the difference operator (i.e. DIFF) with lag order of 1. 
  3. Other filters - Define  a new variable as a complex combination of your current and lagged time series. Most popular is called Hodrick-Prescott filter - which is part of X-12-ARIMA Function in NumXL.

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