cointReg: makeLeadLagMatrix – R documentation

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makeLeadLagMatrix

Leads-and-Lags Matrix

Generates leads-and-lags matrix for the Dynamic OLS estimator.

makeLeadLagMatrix(x, n.lag, n.lead)

`x`	[`matrix`] Matrix for which to generate the leads-and-lags matrix.
`n.lag, n.lead`	[`numeric(1)`] Number of lags and leads, have to be non-negative integer values. If greater than `nrow(x)`, produces 0-rows.

[matrix]. Leads-and-lags matrix.

x <- matrix(1:20, 2, byrow = TRUE)
cointReg:::makeLeadLagMatrix(x = x, n.lag = 2, n.lead = 3)

Parameter Estimation and Inference in a Cointegrating Regression

v0.2.0

GPL-3

Authors

Philipp Aschersleben [aut, cre], Martin Wagner [aut] (Author of underlying MATLAB code.)

Initial release

2016-06-14