Estimate an AR(1) model with intercept for time series yt using the LS method
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Filippo Patrignani
el 15 de Jun. de 2021
Respondida: Jaynik
el 24 de Jul. de 2024 a las 6:49
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
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Jaynik
el 24 de Jul. de 2024 a las 6:49
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:
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