f.std.data<-function(x)
{
  dx<-dim(x)
  meanx<-apply(x,2,mean)
  varx<-apply(x,2,var)
  for (i in 1:dx[2])
    x[,i]<-(x[,i]-meanx[i])/sqrt(varx[i])
  return(x)
}

preprocess.mts<-function(x)
{
  # standardize data
  x<-f.std.data(x)

  # assumes that the multiple series are one col to each series
  dx<-dim(x)

  # Concatenate series
  vmts<-as.vector(x)

  # Generate indicator variable
  Indic<-NULL
  for (i in 1:dx[2])
    Indic<-c(Indic,rep(i,dx[1]))

  # Generate lag indicators
  LagIndic<-matrix(1,dx[1]*dx[2],dx[2])
  for (i in 1:dx[2])
    LagIndic[((i-1)*dx[1]+1):((i-1)*dx[1]+dx[1]),i]<--1

  return(cbind(vmts,Indic,LagIndic))
}