A Simple Example of De-trending Time Series Data

Post date: May 2, 2017 7:54:57 PM

year <- 1955:2015

yield <- 100 + 0.1*year +rnorm(length(year),0,2)

yhat <- predict(lm(yield~year))

yd1 <- yield[1] - (yhat-yield) # approach 1

yd2 <- yield + coef(lm(yield~year))[2]*(year[1]-year) # approach 2

# plotting

plot(year,yield,type="o",ylim=c(290,305))

lines(year,yhat,col="red")

lines(year,yd1,type="o",col="blue")

lines(year,yd2,type="o",col="green")

cor(yd1,yd2)

# end of code