Removing Effect of Macroeconomic Variables from Time Series
This question may sound weakly relevant/rudimentary in this group but any help would be invaluable. I am trying to modify a time series of market volume/trading etc. data and would like to remove the effect of macroeconomic variables like interest rates and inflation removed.
Could someone please advise how is this performed?
Regards,Pankaj K Agarwal
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The paper and package are written around *stock returns ~ market index +
exchange rate*. But the ideas and code are general and can be applied in
many other ways. Please do tell us about your experiences.