lagk function

1 to k-Period Lags of Given Vector

Generates a matrix of a given vector and its 1 to k-period lags. Missing values due to lag are filled with NAs.

lagk(u, lag = 1, delete = TRUE)

Arguments

• u: a vector of one variable, usually residuals.
• lag: the number of periods up to which lags should be generated.
• delete: logical value indicating whether missing data should be eliminated from the resulting matrix.

Returns

Matrix of vector u and its 1 to k-period lags.

Examples

u = round(rnorm(10),2)
lagk(u)
lagk(u,lag = 3)
lagk(u,lag = 3, delete = FALSE)