tsa.tsatools.lagmat2ds()

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