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+## Copyright (C) 1995, 1996, 1997  Kurt Hornik
+## 
+## This program is free software; you can redistribute it and/or modify
+## it under the terms of the GNU General Public License as published by
+## the Free Software Foundation; either version 2, or (at your option)
+## any later version.
+## 
+## This program is distributed in the hope that it will be useful, but
+## WITHOUT ANY WARRANTY; without even the implied warranty of
+## MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE.  See the GNU
+## General Public License for more details. 
+## 
+## You should have received a copy of the GNU General Public License
+## along with this file.  If not, write to the Free Software Foundation,
+## 59 Temple Place - Suite 330, Boston, MA 02111-1307, USA.
+
+## usage:  X = autoreg_matrix (y, k)
+##
+## Given a time series (vector) y, returns a matrix X with ones in the
+## first column and the first k lagged values of y in the other columns.
+## I.e., for t > k, [1, y(t-1), ..., y(t-k)] is the t-th row of X. X can
+## be used as regressor matrix in autoregressions.
+  
+## Author:  KH <Kurt.Hornik@ci.tuwien.ac.at>
+## Description:  Design matrix for autoregressions
+
+function X = autoreg_matrix (y, k)
+
+  if (nargin != 2)
+    usage ("autoreg_matrix (y, k)");
+  endif
+  
+  if !(is_vector (y))
+    error ("autoreg_matrix:  y must be a vector");
+  endif
+  
+  T = length (y);
+  y = reshape (y, T, 1);
+  X = ones (T, k+1);
+  for j = 1 : k;
+    X(:, j+1) = [zeros (j, 1); y(1:T-j)];
+  endfor
+  
+endfunction