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Orthogonalization of time series data

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Christoph Meier
Christoph Meier on 13 Aug 2015
Answered: Muthu Annamalai on 18 Aug 2015
Dear MATLAB community,
I have economic time series data (Y), which I would like to control for a range of other economic variables, such as consumer price index (CPI), or employment (EMPL).
I am planning to use a multiple time series regression model, with Y as the dependent variable and CPI and EMPL as independent variables (there are a few more, but I only mention those two for the sake of parsimony).
I would then like to store the residuals as my now cleaned data.
What techniques/commands would you recommend?
Thank you very much in advance!
Chris

Answers (1)

Muthu Annamalai
Muthu Annamalai on 18 Aug 2015
Sounds like
eig
maybe useful, and you may find principal component analysis (PCA) of interest too.
See PCA

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