jeffwong/fastVAR — pull request #15 by jeffwong (2012-11-27 06:43:29+00:00)
Title: Deseason

Deseason all endogenous time series in matrix y using STL. If the time series are periodic, the seasonal component is removed, then the VAR model is fit on the remainder term. For prediction, we predict using the VAR model then add back the seasonal component.