lagmat: Creates Lagged cwVariablesMatrix for AR Models

In kloke/npsmReg2: R functions for Chapter 7 of Nonparametric Statistical Methods Using R

Description

Given the time series and the order p of the AR series, this function returns the lagged variables of order p. The lagged response is in the first column followed by the lagged x's in increasing order.

Usage

lagmat(x, p)

Arguments

x	time series
p	order of the AR series

Value

xmat	a matrix with p+1 columns, the first column is the lagged response, the remaining columns are the lagged x's in increasing order.

Author(s)

Joe McKean [e-mail] and John Kloke [e-mail]

References

Kloke, J. and McKean, J.W. (2014), Nonparametric statistical methods using R, Boca Raton, FL: Chapman-Hall.

Examples

x <- rnorm(40)
xlags <- lagmat(x,4)

kloke/npsmReg2 documentation built on May 20, 2019, 12:34 p.m.