7.8.6.5. statsmodels.tsa.tsatools.lagmat2ds¶

statsmodels.tsa.tsatools.lagmat2ds(x, maxlag0, maxlagex=None, dropex=0, trim='forward')[source]¶

generate lagmatrix for 2d array, columns arranged by variables

Parameters:

x : array_like, 2d 2d data, observation in rows and variables in columns maxlag0 : int for first variable all lags from zero to maxlag are included maxlagex : None or int max lag for all other variables all lags from zero to maxlag are included dropex : int (default is 0) exclude first dropex lags from other variables for all variables, except the first, lags from dropex to maxlagex 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, columns ordered by variable

Notes

very inefficient for unequal lags, just done for convenience