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Thread Subject:
Simulate AR(1) Model

Subject: Simulate AR(1) Model

From: Ricardo Silva

Date: 21 Nov, 2008 19:04:01

Message: 1 of 2

Hi, I would like to simulate an AR(1) model with the following parametrization:

a) From: Yt - mu = rho ( Yt-1 - mu ) + et (where mu=mean, rho=ar coeff. and et=N(0,1))

b) I subtract ( Yt-1 - mu ) from both sides of model

c) Reparameterize the model as: Yt - Yt-1 = (rho -1)( Yt-1 - mu ) + et and

d) Finally, I want to compute **First Difference** Dt = Yt-Yt-1.


Any help will be apreciatted. Thanks
Rick

Subject: Simulate AR(1) Model

From: Richard Startz

Date: 21 Nov, 2008 20:53:27

Message: 2 of 2

On Fri, 21 Nov 2008 19:04:01 +0000 (UTC), "Ricardo Silva"
<ricardogs@terra.com.br> wrote:

>Hi, I would like to simulate an AR(1) model with the following parametrization:
>
>a) From: Yt - mu = rho ( Yt-1 - mu ) + et (where mu=mean, rho=ar coeff. and et=N(0,1))
>
>b) I subtract ( Yt-1 - mu ) from both sides of model
>
>c) Reparameterize the model as: Yt - Yt-1 = (rho -1)( Yt-1 - mu ) + et and
>
>d) Finally, I want to compute **First Difference** Dt = Yt-Yt-1.
>
>
>Any help will be apreciatted. Thanks
>Rick

Take a look at the filter function in help.

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