Main Content

Data Preprocessing

Format, plot, and transform time series data


Econometric ModelerAnalyze and model econometric time series


LagOpCreate lag operator polynomial


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convert2dailyAggregate timetable data to daily periodicity
convert2weeklyAggregate timetable data to weekly periodicity
convert2monthlyAggregate timetable data to monthly periodicity
convert2quarterlyAggregate timetable data to quarterly periodicity
convert2semiannualAggregate timetable data to semiannual periodicity
convert2annualAggregate timetable data to annual periodicity
addBusinessCalendarAdd business calendar awareness to timetables
price2retConvert prices to returns
ret2priceConvert returns to prices
lagmatrixCreate lagged time series data
hpfilterHodrick-Prescott filter for trend and cyclical components
bkfilterBaxter-King filter for trend and cyclical components
cffilterChristiano-Fitzgerald filter for trend and cyclical components
hfilterHamilton filter for trend and cyclical components
recessionplotOverlay recession bands on time series plot
filterApply lag operator polynomial to filter time series
isStableDetermine stability of lag operator polynomial
reflectReflect lag operator polynomial coefficients around lag zero
toCellArrayConvert lag operator polynomial object to cell array
isEqLagOpDetermine if two LagOp objects are same mathematical polynomial
isNonZeroFind lags associated with nonzero coefficients of LagOp objects
minusLag operator polynomial subtraction
mldivideLag operator polynomial left division
mrdivideLag operator polynomial right division
mtimesLag operator polynomial multiplication
plusLag operator polynomial addition

Examples and How To