proc nclag(x,lag1,n);
/*
PURPOSE: Generates a matrix of lags from a matrix containing
          a set of vectors, x
---------------------------------------------------
USAGE: xlag = nclag(x,lag1,n)
WHERE:    x    = an (nobs x neqs) matrix 
           lag1 = beginning lag
           n    = ending lag
---------------------------------------------------
e.g., xlag = nclag(x,2,3) would produce a matrix
       [x(t-2) x(t-3)]
---------------------------------------------------

NOTE: Totally mimics J.P Le Sages MATLAB Code...

*/
local nobs, nvar, nlag, icnt, xlag;
{nobs,nvar}=size(x);
nlag=n-lag1+1;
xlag=zeros(nobs,nvar*nlag);
icnt=1;
for i(1,nvar,1);
for j(lag1,n,1);
xlag[j+1:nobs,icnt]=x[1:nobs-j,i];
icnt=icnt+1;
endfor;
endfor;
retp(xlag);
endp;