Grocer Function
NAME
mlag - lag of a matrix
CALLING SEQUENCE
[xlag]=mlag(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)
EXAMPLE
1) x1=ones(7,1);x2=[1:7]';y = mlag([x1 x2],2,4)
2) elag = mlag(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