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Diffstat (limited to 'macros/autoreg_matrix.sci')
| -rw-r--r-- | macros/autoreg_matrix.sci | 19 |
1 files changed, 18 insertions, 1 deletions
diff --git a/macros/autoreg_matrix.sci b/macros/autoreg_matrix.sci index bc36969..8778a84 100644 --- a/macros/autoreg_matrix.sci +++ b/macros/autoreg_matrix.sci @@ -1,5 +1,22 @@ function y = autoreg_matrix(Y, varargin) - +// Given a time series (vector) Y, return a matrix with ones in the first column and the first K lagged values of Y in the other columns. +//Calling Sequence +//autoreg_matrix(Y, K) +//Parameters +//Y: Vector +//K: Scalar or Vector +//Description +// Given a time series (vector) Y, return a matrix with ones in the first column and the first K lagged values of Y in the other columns. +// +//In other words, for T > K, '[1, Y(T-1), ..., Y(T-K)]' is the t-th row of the result. +// +//The resulting matrix may be used as a regressor matrix in autoregressions. +//Examples +//autoreg_matrix([1,2,3],2) +//ans = +// 1. 0. 0. +// 1. 1. 0. +// 1. 2. 1. funcprot(0); rhs = argn(2) if(rhs<2 | rhs>2) |