lagmatrix.m

经济类的实用的时间序列分析软件包

function [Y, X] = lagmatrix(y,p,c)
% PURPOSE:
%     Construct an X matrix and a Y vector for use in an AR regression
% 
% USAGE:
%     [Y, X] = lagmatrix(y,p,c)
% 
% INPUTS:
%     y is the dependant variable(nx1)
%     p is the number of lags(scalar)
%     c=1 if you want to include a constant
% 
% OUTPUTS:
%     Y will be (n-p)x1
%     X will be (n-p)xp(or p+1 if c=1)(lags)
% 
% COMMENTS:
%     Name cnflicts with a Matlab file
% 
% Author: Kevin Sheppard
% [e-mail]
% Revision: 2    Date: 12/31/2001

% check input
if nargin~=3, error('lagmatrix: wrong # of input arguments'); end;

n=length(y);

% initialize Y and X
Y=y(p+1:n);
X=zeros(n-p,p);

for i=1:p
   X(:,i)=y(p-i+1:n-i);
end;
if c==1
   X=[ones(length(Y),1) X];
end;
[Y,X];