Name

mlagb — lag a matrix

CALLING SEQUENCE

[xlag]=mlagb(x,n,init)

PARAMETERS

Input

• x = a matrix (or vector), nobs x nvar

• nlag = # of lags for each vector in x

• init = (optional) scalar value to feed initial missing values (default = 0)

Output

• xlag = a matrix of lags (nobs x nvar*nlag)

• x(t-1),x(t-1) … ,x(t-nlag)

DESCRIPTION

Generates a matrix of n lags from a matrix (or vector) containing a set of vectors (For use in var routines): rows are ordered by lags (and not by vectors as in mlag).

EXAMPLE


1) x1=ones(7,1);x2=[1:7]';y = mlagb([x1 x2],2,4)

2) xlag = mlagb(y,nlag);

 

Example 1 gives the matrix: 

!   4.    4.    4.    4. !

!   1.    1.    4.    4. !

!   1.    2.    1.    1. !

!   1.    3.    1.    2. !

!   1.    4.    1.    3. !

!   1.    5.    1.    4. !

!   1.    6.    1.    5. !

 

Example 2 (taken from var1) takes all lags from 1 to nlag of endogenous variables in the var to form the matrix of regressors. 



               

AUTHOR

Eric Dubois 2002