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.