<t>Aaron," I can't think of any application for which this is a good idea. Prices are what they are, someone paid them. "Detrended" prices are meaningless. Also a Hodrick-Prescott filter will smooth the series rather than detrend it."Yeah, but decomposing the price can sometimes help you in determin...

<t>Is there any appropriate methodology for detrending daily data over a period of a few years. A simple linear regression is not appropriate since the trend likely changes several times over the timespan.I know with economic data we often apply a Hodrick-Prescott filter with a coefficient of 1600 f...

<t>Thanks Aaron. I have been away from this forum for a couple of days...."Suppose the Australian stock index is 100 times as volatile as the US index, then the 0.2 from Australia is actually more contribution to the first PC than the 8 from the US. "Yes, I failed to standardize my data (major major...

I'll brush up on my VAR and give it a go. Thanks.

<t>I actually moved to Singapore straight after university. Singapore is very good about foreigners getting work here. Basically when you arrive at the airport you are stamped with a 1 month "social visit pass". You then cruise on over to the "Contact Singapore" office (do a google on it), show them...

<t>My background is more in traditional econometrics, and I have recently come across "principal component analysis". I would just like to confirm with anybody whether I have the concept straight in my head.Points I believe to be true:1. PCA finds a linear combination of variables that captures the ...

<t>QuoteOriginally posted by: MackinnHi, I am doing a VAR project, but encountering a few questions. First, I have four variables, two of them are first difference stationary, but the other two are not stationary, and not sationary by first difference, second difference, taking log,and log differenc...