Object Reference : Object View and Procedure Reference : Group
Whiten the series in the group.
Estimate a VAR() for the series in the group, compute the residuals, and save the results into whitened series.
Group View: group_name.makewhiten(options) out_specification
where out_specification is either a list of names for the output series, one per series in the original group, or is a wildcard expression. Note that wildcards may not be used if the original group contains series expressions.
Name of group to hold output series (optional).
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.
grp1.makewhiten(grp=wht, 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 are named using the wildcard expression “*a” in the named group WHT.
grp2.makewhiten(noc, lag=5) *a
whitens the series in GRP2 using a no-constant VAR and 5 lags.
See “Make Whitened” for detail.