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diff --git a/octave_packages/m/signal/autoreg_matrix.m b/octave_packages/m/signal/autoreg_matrix.m
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+## Copyright (C) 1995-2012 Kurt Hornik
+##
+## This file is part of Octave.
+##
+## Octave is free software; you can redistribute it and/or modify it
+## under the terms of the GNU General Public License as published by
+## the Free Software Foundation; either version 3 of the License, or (at
+## your option) any later version.
+##
+## Octave is distributed in the hope that it will be useful, but
+## WITHOUT ANY WARRANTY; without even the implied warranty of
+## MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE.  See the GNU
+## General Public License for more details.
+##
+## You should have received a copy of the GNU General Public License
+## along with Octave; see the file COPYING.  If not, see
+## <http://www.gnu.org/licenses/>.
+
+## -*- texinfo -*-
+## @deftypefn {Function File} {} autoreg_matrix (@var{y}, @var{k})
+## Given a time series (vector) @var{y}, return a matrix with ones in the
+## first column and the first @var{k} lagged values of @var{y} in the
+## other columns.  I.e., for @var{t} > @var{k}, @code{[1,
+## @var{y}(@var{t}-1), @dots{}, @var{y}(@var{t}-@var{k})]} is the t-th row
+## of the result.  The resulting matrix may be used as a regressor matrix
+## in autoregressions.
+## @end deftypefn
+
+## Author: KH <Kurt.Hornik@wu-wien.ac.at>
+## Description: Design matrix for autoregressions
+
+function X = autoreg_matrix (y, k)
+
+  if (nargin != 2)
+    print_usage ();
+  endif
+
+  if (! (isvector (y)))
+    error ("autoreg_matrix: Y must be a vector");
+  endif
+
+  T = length (y);
+  y = reshape (y, T, 1);
+  X = ones (T, k+1);
+  for j = 1 : k;
+    X(:, j+1) = [(zeros (j, 1)); y(1:T-j)];
+  endfor
+
+endfunction
+
+
+%!test
+%! K=4;
+%! A = zeros(1,K+1);
+%! A(1) = 1;
+%! B = eye(K+1);
+%! B(:,1) = 1;
+%! assert (autoreg_matrix(A,K),B);
+
+%!error autoreg_matrix()
+%!error autoreg_matrix(1)
+%!error autoreg_matrix(ones(4,1),5)