ts_lagged {MSTest} | R Documentation |
Lagged Time Series Data
Description
This function takes a (T x 1
) vector Y
and returns the (T-p x 1
) vector y
and the (T-p x p
) matrix of lagged observations.
Usage
ts_lagged(Y, p)
Arguments
Y |
Vector with time series observations. |
p |
integer for the number of lags to use in estimation. Must be greater than or equal to |
Value
List with vector y
(vector of lagged Y
) and matrix X
of lagged observations.
[Package MSTest version 0.1.5 Index]