Object Reference : Object View and Procedure Reference : Series
Whiten the series.
Estimate an AR(), compute the residuals, and save the results into a whitened series.
Series View: series_name.makewhiten(options) out_specification
where out_name is either a name for the output series or a wildcard expression. Note that a wildcard may not be used if the original group contains series expressions.
lag=arg (default=1)
Lag specification: integer (user-specified number of lags), “a” (automatic selection).
Do not remove means (center data) prior to whitening.
infosel=arg (default=“aic”)
Information criterion for automatic selection: “aic” (Akaike), “sic” (Schwarz), “hqc” (Hannan-Quinn).
Maximum lag-length for automatic selection (optional). The default is an observation-based maximum of the integer portion of .
Force the dialog to appear from within a program.
ser1.makewhiten(lag=a, infosel=sic, maxlag=10) *a
whitens the series in GRP1 using a VAR with auto-selected number of lags based on the SIC information criterion and a maximum of 10 lags. The resulting series is named ASER1.
ser1.makewhiten(noc, lag=5) aser1
whitens the series using a no-constant VAR and 5 lags.
See “Make Whitened” for details.