or
julia> transform!(test, [:a => (x -> lag(x, i)) => "a_$i" for i in 1:5])
10×7 DataFrame
Row │ a b a_1 a_2 a_3 a_4 a_5
│ Int64 Int64 Int64? Int64? Int64? Int64? Int64?
─────┼───────────────────────────────────────────────────────────
1 │ 1 11 missing missing missing missing missing
2 │ 2 12 1 missing missing missing missing
3 │ 3 13 2 1 missing missing missing
4 │ 4 14 3 2 1 missing missing
5 │ 5 15 4 3 2 1 missing
6 │ 6 16 5 4 3 2 1
7 │ 7 17 6 5 4 3 2
8 │ 8 18 7 6 5 4 3
9 │ 9 19 8 7 6 5 4
10 │ 10 20 9 8 7 6 5