AR(p) Matrix X will be as follow if p=3 for instance Y X1 X2 X3 1 1 2 2 2 3 3 3 3 4 4 4 4 4 5 5 5 5 5 6 6 6 6 6 7 7 7 7 7 8 8 8 8 9 9 9 10 10