statsmodels.tsa.tsatools.lagmat2ds

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

Generate lagmatrix for 2d array, columns arranged by variables.

Parameters

x : array_like

Data, 2d. Observations in rows and variables in columns.

maxlag0 : int

The first variable all lags from zero to maxlag are included.

maxlagex : {None, int}

The max lag for all other variables all lags from zero to maxlag are included.

dropex : int

Exclude first dropex lags from other variables. For all variables, except the first, lags from dropex to maxlagex are included.

trim : str

The trimming method to use.

  • ‘forward’ : trim invalid observations in front.

  • ‘backward’ : trim invalid initial observations.

  • ‘both’ : trim invalid observations on both sides.

  • ‘none’ : no trimming of observations.

use_pandas : bool

If true, returns a DataFrame when the input is a pandas Series or DataFrame. If false, return numpy ndarrays.

Returns

ndarray

The array with lagged observations, columns ordered by variable.

Notes

Inefficient implementation for unequal lags, implemented for convenience.