Grocer Function
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