lag1¶

Purpose¶

Lags a matrix by one time period for time series analysis.

Format¶

y = lag1(x)
Parameters: x (Nx1 column vector or NxK matrix) – data y (NxK matrix) – x lagged 1 period.

Examples¶

Basic lag¶

// Define y vector
y = { 1.2,
3.4,
2.5,
4.1,
2.8 };

// Take first lag of y
y_lag = lag1(y);

// Print output
print y_lag;


will return:

        .
1.2000000
3.4000000
2.5000000
4.1000000


Multiple Columns¶

// Define y vector
y_mat = { 1.2 4.3,
3.4 0.97,
2.5 1.4,
4.1 0.7,
2.8 4.1};

// Take first lag of y
y_lag = lag1(y_mat);

// Print output
print y_lag;


will return:

        .                .
1.2000000        4.3000000
3.4000000       0.97000000
2.5000000        1.4000000
4.1000000       0.70000000


Remarks¶

lag1() lags x by one time period, so the first observations of y are missing. lag1() assumes that each column of the input is a different time series and that each row is an observation. Therefore if a 1xK row vector is passed to lag1(), it will return a 1xK of missing values.

lag.src