How can I generate an AR(1) process with function filter.m?

I tried with this code, but I'm not sure about the result...

e=randn(500,1) b=[1 phi]; y=filter(b,1,e);

Note: phi is the coefficient of the lagged variable.

Answer 1

[Roger Wohlwend]

You did not implement an AR(1) but an MA(1) process. It is not possible to generate an AR(1) process with the function filter. You have to do it with a for-loop - or use certain functions of the Econometrics toolbox.