scikits.statsmodels.sandbox.tools.tools_tsa.lagmat

scikits.statsmodels.sandbox.tools.tools_tsa.lagmat(x, maxlag, trim='forward')

create 2d array of lags

Parameters :

x : array_like, 1d or 2d

data; if 2d, observation in rows and variables in columns

maxlag : int

all lags from zero to maxlag are included

trim : string

  • ‘forward’ : trim invalid observations in front
  • ‘backward’ : trim invalid initial observations
  • ‘both’ : trim invalid observations on both sides
  • ‘none’ : no trimming of observations
Returns :

lagmat : 2d array

array with lagged observations

Notes

TODO: * allow list of lags additional to maxlag * create varnames for columns

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