IF you want to use AR(1), then input this into equation
R_t c R_t(-1) mu b*R_t-1 e_t
If you want AR(2), then
R_t c R_t(-2) mu b*R_t-1 e_t
Search found 1 match
- Wed Jul 30, 2014 9:17 am
- Forum: Estimation
- Topic: auto-regressive (AR) filter to demean a series
- Replies: 2
- Views: 8463