Vincent Nijs schrieb:

I am tryin to convert some of my time-series code written in Ox to scipy/numpy (e.g., unit root tests, IRFs, cointegration, etc). Two key functions I need for this are 'lag' and 'diff'. 'diff' is available but 'lag' is apparently not.

Below is my attempt at a lag function. I tried to be somewhat consistent with the diff function which is part of numpy (also listed for convenience). It seems to work fine for a 2-d array but not for a 1-d or 3-d array (see tests at bottom of email). I'd appreciate any suggestions you may have.

Great to see somebody converting from Ox to numpy, I see synergies ahead!

def lag(a, n=1, lag_axis=0, concat_axis=1): """ Calculate the nth order discrete lag along given axis. Note: axis=-1 means 'last dimension'. This is the default for the diff function. However, the first dimension (0) may be preferred for time-series analysis. """ a = asanyarray(a)

n = ravel(n) # convert input to an array

why don't you leave n as an integer? maybe you're trying to be too clever here. I think it's a good idea to have lag resemble the existing diff function, and then a single number n should be enough. (And I'm not sure about your concat_axis, e.g. what does axis=1 mean for a 1-d array?) Do you get your errors also for integer n? cheers, sven