1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
21
22
23
24
25
26
27
28
29
30
|
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)
error("Wrong number of input arguments.");
end
select(rhs)
case 2 then
y = callOctave("autoreg_matrix", Y, varargin(1));
end
endfunction
|
