## Copyright (C) 1995, 1996, 1997 Kurt Hornik ## ## This program is free software; you can redistribute it and/or modify ## it under the terms of the GNU General Public License as published by ## the Free Software Foundation; either version 2, or (at your option) ## any later version. ## ## This program is distributed in the hope that it will be useful, but ## WITHOUT ANY WARRANTY; without even the implied warranty of ## MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. See the GNU ## General Public License for more details. ## ## You should have received a copy of the GNU General Public License ## along with this file. If not, write to the Free Software Foundation, ## 59 Temple Place - Suite 330, Boston, MA 02111-1307, USA. ## usage: X = autoreg_matrix (y, k) ## ## Given a time series (vector) y, returns a matrix X with ones in the ## first column and the first k lagged values of y in the other columns. ## I.e., for t > k, [1, y(t-1), ..., y(t-k)] is the t-th row of X. X can ## be used as regressor matrix in autoregressions. ## Author: KH <Kurt.Hornik@ci.tuwien.ac.at> ## Description: Design matrix for autoregressions function X = autoreg_matrix (y, k) if (nargin != 2) usage ("autoreg_matrix (y, k)"); endif if !(is_vector (y)) error ("autoreg_matrix: y must be a vector"); endif T = length (y); y = reshape (y, T, 1); X = ones (T, k+1); for j = 1 : k; X(:, j+1) = [zeros (j, 1); y(1:T-j)]; endfor endfunction

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