transformData {sparseDFM}

Transform data to make it stationary

Description

Methods to transform the data to make it stationary. Input a n \times p numeric data matrix and what transform is required for each data series. Returns a n \times p matrix of the transformed data.

Usage

transformData(X, stationary_transform)

Arguments

X

n x p numeric data matrix

stationary_transform

p-dimensional vector filled with numbers from \{1,2,3,4,5,6,7\} representing:

1		no change
2		first difference X_{i,t} - X_{i,t-1}
3		second difference (X_{i,t} - X_{i,t-1}) - (X_{i,t-1} - X_{i,t-2})
4		log first difference log(X_{i,t}) - log(X_{i,t-1})
5		log second difference (log(X_{i,t}) - log(X_{i,t-1})) - (log(X_{i,t-1}) - log(X_{i,t-2}))
6		growth rate (X_{i,t} - X_{i,t-1})/X_{i,t-1}
7		log growth rate (log(X_{i,t}) - log(X_{i,t-1}))/log(X_{i,t-1})

Value

Transformed stationary version of \bm{X}.