Name

mlag0 — lag of a matrix

CALLING SEQUENCE

[xlag]=mlag0(x,n,init)

PARAMETERS

Input

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

• n = # of contiguous 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)

• x1(t-1), x1(t-2), … x1(t-nlag), x2(t-1), … x2(t-nlag),…

DESCRIPTION

Generates a matrix of n lags from a matrix (or vector) containing a set of vectors (for use in var routines): the same as mlag but without tests on the inputs.

EXAMPLE


1) x1=ones(7,1);x2=[1:7]';y = mlag0([x1 x2],2,4)

2) elag = mlag0(rols('resid'),nobse/6);

 

Example 1 gives the matrix: 

!   4.    4.    4.    4. !

!   1.    4.    1.    4. !

!   1.    1.    2.    1. !

!   1.    1.    3.    2. !

!   1.    1.    4.    3. !

!   1.    1.    5.    4. !

!   1.    1.    6.    5. !               

Example 2 (taken from var1) takes the residuals from a regression and stores all lags from 1 to nobse/6 to prepare the calculation of the Box-Pierce statistics.



               

AUTHOR

Eric Dubois 2002