On Fri, 7 Dec 2012, Sven Schreiber wrote: > when lags() is applied to a list (of series), then the result is grouped > by variables, i.e. lags(2,mylist) gives > > x_1 x_2 y_1 y_2 > > if x and y are the list members. > > In the VAR/VECM context we typically have the variables ordered by lags > instead, i.e. we need > > x_1 y_1 x_2 y_2. > > (For example, implicitly this standard ordering is also used by the nice > accessor $vecGamma which I just recently discovered.) > > I wrote a little loop that roughly does what I need by repeatedly taking > lags; it's good enough for me I guess, although names turn out like > x_1_1 instead of x_2, but I can live with that (thanks to the new > extended character limit for names!). But still I was wondering whether > this would be an argument to extend the lags() function to do that more > cleanly, maybe with an optional parameter or something. In CVS (not yet snapshots) you now have that. There's an optional third parameter called "bylag": if you give a non-zero argument the output list will be ordered as you describe (lag 1 of all series, then lag 2 of all series, usw).