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- Sat Sep 14, 2013 11:11 am
- Forum: Econometric Discussions
- Topic: AR(p) reparameterization
- Replies: 0
- Views: 1366
AR(p) reparameterization
Hi! I read the attached paper. The main idea of this paper is to reparametize the autoregressive process using the partial autocorrelation function. I would like to ask, if someone could give me an example. Lets assume than we have the AR(2) process y(t)=a_1 y(t-1)+a_2 y(t-2)+epsilon(t), where epsil...
