function X = lag(data,lags,shift)
% function X=lag(data,lags,shift)
%   Creates a lagged matrix from the data in "data"
% Example:  lag([1 2 3 4 5],3,1) returns the matrix:
%  X=[1     2
%     2     3
%     3     4
%     4     5]

[N,P] = size(data);
lags = lags+1;
X = zeros(lags*N,P-lags*shift+1);

for j=0:lags-1
        X(j*N+1:(j+1)*N,:) = data(:,j*shift+1:P-(lags-j)*shift+1);
end