AR(p) of order 6 AutoRegression

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dangrewal
dangrewal 2014 年 3 月 16 日
編集済み: Shashank Prasanna 2014 年 3 月 20 日
I am trying to write the following formula in matlab for autoregression: Yt = PYt-1 +...+ PYt-6 + Et (Et = random error defined as (0,1)) I know my weighted P values and I want the formula to be for order of 6. I'm new to Matlab and do have econometrics toolbox but unsure of how to write this properly, any help much appreciated.

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Shashank Prasanna
Shashank Prasanna 2014 年 3 月 20 日
編集済み: Shashank Prasanna 2014 年 3 月 20 日
mdl = arima('Constant',0.05,'AR',{0.1,0.2,0.3,0.4,-0.5,-0.6})
Assuming those are your PY values.
Please check the documentation for examples and other information:
http://www.mathworks.com/help/econ/arima-class.html

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