reverse-shooting

Matlab scripts for reverse shooting
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mlag.m (435B)

      1 % MLAG.m  Multiple Series Lag
      2 %	Accepts a (TxK) matrix y and a 1xK vector lag and returns the 
      3 %	(T-max(lag))x(K+sum(lag)) matrix that contains the original data
      4 %	and the lags, all of the same length:
      5 %
      6 %	e.g.	[y1 y1(-1) y2 y2(-1) y2(-2)] if lag=[ 1 2 ]
      7 
      8 function z=mlag(y,lag);
      9 
     10 [T K] = size(y);
     11 M     = max(lag);
     12 
     13 z=[];			   % Stack things horizontally here...
     14 for i=1:K;
     15 	[y1 y2] = lagx(y(:,i),M);
     16 	z = [z y1 y2(:,1:lag(i))];
     17 end;