Autoregressive models

19 次查看（过去 30 天）
Michael
Michael 2011-7-31
评论： Luis Hernandez 2017-8-16
Hi, I'm trying to create an auto regressive model, and I want to use AIC to identify the optimal number of lags to include in it. Does anyone know of any code that I can use to do this? I think this requires the econometrics toolbox which I do have. Thanks

请先登录，再回答此问题。

采纳的回答

Oleg Komarov
Oleg Komarov 2011-7-31
Example: AR(1)
% Generate series
Series = rand(100,1);
% Set the AR(1) - note the constant variance
Spec = garchset('R',1,'VarianceModel','Constant');
% Estimate
[Coeff,Errors,LLF] = garchfit(Spec,Series);
% Display
garchdisp(Coeff,Errors)
aicbic(LLF,garchcount(Coeff))
Alternatively:
  4 个评论
显示 2更早的评论
Michael
Michael 2011-7-31
Ok great, thanks, I managed to get sorted!
Luis Hernandez
Luis Hernandez 2017-8-16
Hi Oleg!! Thank so much for the script!! I've fit an AR(1) model with that script. But, i want to know the meaning of 'K' parameter in coeff set. Is it the value of white noise variance? According to the documentation of garchset the 'K' parameter is just for GARCH models or conditional variance models, why that parameter appears in AR(1) model? Im working with several ARMAX models and need to know the value of that variance. How could find this value? Thanks in advance!!!

请先登录，再进行评论。

更多回答（0 个）

类别

在 Help Center 和 File Exchange 中查找有关 Conditional Mean Models 的更多信息

标签

Community Treasure Hunt

Find the treasures in MATLAB Central and discover how the community can help you!

Start Hunting!

Translated by