Hi,
We can use the ar function in the "System Identification Toolbox", for estimating autoregressive models directly. Following is a simple code for estimating an AR(1) model using the least squares method:
% below line estimates an AR(1) model on the data yt
model = ar(yt, 1, 'ls');
% 'ls' indicates Least Squares method
Refer the following documentation to read more about this function:
