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:
xarray_like

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

maxlag0int

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.

dropexint

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

trimstr

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_pandasbool

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.


Last update: Feb 14, 2024