Estimate an AR(1) model with intercept for time series yt using the LS method

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

Answer 1

[Jaynik]

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:

• https://www.mathworks.com/help/ident/ref/ar.html