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## 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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