Orthogonalization of time series data

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Christoph Meier
Christoph Meier 2015-8-13
回答： Muthu Annamalai 2015-8-18
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

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Muthu Annamalai
Muthu Annamalai 2015-8-18
Sounds like
eig
maybe useful, and you may find principal component analysis (PCA) of interest too.
See PCA

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