statsmodels.tsa.tsatools.lagmat2ds¶
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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.
- 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_pandasbool
If true, returns a DataFrame when the input is a pandas Series or DataFrame. If false, return numpy ndarrays.
- Returns
ndarrayThe array with lagged observations, columns ordered by variable.
Notes
Inefficient implementation for unequal lags, implemented for convenience.