Estimate an AR(1) model with intercept for time series yt using the LS method
6 次查看(过去 30 天)
显示 更早的评论
Hi, I have to estimate an AR(1) model for yt (annualized quarter growth rate of RPI) using LS method and report the parameter estimates together with the asymptotic standard errors. I don't know how to do it. Someone cn help me?
Thanks
0 个评论
回答(1 个)
Jaynik
2024-7-24
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:
0 个评论
另请参阅
类别
在 Help Center 和 File Exchange 中查找有关 Time Series 的更多信息
Community Treasure Hunt
Find the treasures in MATLAB Central and discover how the community can help you!
Start Hunting!