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// 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.
//function y = autoreg_matrix(Y, varargin)
//funcprot(0);
//rhs = argn(2)
//if(rhs<2 | rhs>2)
//error("Wrong number of input arguments.");
//end
//
// select(rhs)
// case 2 then
// y = callOctave("autoreg_matrix", Y, varargin(1));
// end
//endfunction
function X = autoreg_matrix (y, k)
funcprot(0);
[nargout, nargin] = argn() ;
if (nargin ~= 2)
error('autoreg_matrix: invalid input') ;
end
if (~ (isvector (y)))
error ("autoreg_matrix: Y must be a vector");
end
T = length (y);
y = matrix(y, T, 1);
X = ones (T, k+1);
for j = 1 : k;
X(:, j+1) = [(zeros (j, 1)); y(1:T-j)];
end
endfunction
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