Daniel@0: function yy = convert_to_lagged_form(y, k)
Daniel@0: % Create an observation vector yy(:,t) containing the last k values of y, newest first
Daniel@0: % e.g., k=2, y = (a1 a2 a3)     yy  = a2 a3
Daniel@0: %                (b1 b2 b3)           b2 b2
Daniel@0: %                                     a1 a2
Daniel@0: %                                     b1 b2
Daniel@0: 
Daniel@0: [s T] = size(y);
Daniel@0: bs = s*ones(1,k);
Daniel@0: yy = zeros(k*s, T-k+1);
Daniel@0: for i=1:k
Daniel@0:   yy(block(i,bs), :) = y(:, k-i+1:end-i+1);
Daniel@0: end
Daniel@0: