/*--------------------------------------------------------------------
  (N.C.M. 1/17/93)
    COMPAN.SET -- Sets up the companion matrix for a VAR(p)
                    system of m equations.


   USAGE: A=COMPAN(alpha,m,p);

         alpha=Coefficient matrix from VAR.
         m=no. of variables (equations) in system.
         p=no. of lags in VAR


  The VAR (and alpha) is assumed to have the following structure
                 --------------------------
   y1(t) = [y1(t-1),...,y1(t-p),...ym(t-1),...,ym(t-p)]*alpha[1,.]'
   y2(t) = [y1(t-1),...,y1(t-p),...ym(t-1),...,ym(t-p)]*alpha[2,.]'


   ym(t) = [y1(t-1),...,y1(t-p),...ym(t-1),...,ym(t-p)]*alpha[m,.]'
                 --------------------------
Note:
If you run a regression and bj is the kx1 vector of least squares
coefficients from equation j, set alpha[j,.]=bj', or 
alpha=b1'|b2'|...|bm';


EXAMPLE PROGRAM:

format /m1 6,1;
#include compan.set;
let b[3,9]= 2 2 2 4 4 4 3 3 3 3 3 3 5 5 5 8 8 8 4 4 4 5 5 5 4 4 4 ;
m=3; p=3;
a=compan(b,m,p);

---------------------------------------------------------------*/
proc COMPAN(alpha,m,p);
local i,a;

a=eye(m*p); a=rotater(a,-1);
i=0; do while i<=(m-1);
a[i*p+1,.]=alpha[i+1,.];
i=i+1; endo;

retp(a);
endp;

/*--------------------------------------------------------*/