ts_lagged: Lagged Time Series Data

In roga11/MSTest: Hypothesis Testing for Markov Switching Models

Lagged Time Series Data

Description

This function takes a (T x 1) vector Y and returns the (T-p x 1) vector y and the (T-p x p) matrix of lagged observations.

Usage

ts_lagged(Y, p)

Arguments

Y	Vector with time series observations.
p	integer for the number of lags to use in estimation. Must be greater than or equal to 1.

Value

List with vector y (vector of lagged Y) and matrix X of lagged observations.

roga11/MSTest documentation built on Feb. 25, 2025, 6:10 p.m.