May I ask does anyone know how to set the order and can get results from -5 to 5?
the dynare guide mentions set : ar = 5 which can obtain from 1 to 5. How to set up if I want the COEFFICIENTS OF AUTOCORRELATION from -5 to 5 (i.e. -5, -4, -3, -2, -1, 0, 1, 2, 3, 4, 5)?
Thank you very much
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about order of autocorrelation coefficients
by winifred » Wed Nov 18, 2009 11:27 am
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Re: about order of autocorrelation coefficients
by SébastienVillemot » Fri Nov 20, 2009 9:11 am
Hi,
As you know, for a stationnary process, the autocorrelation function is an even function, i.e. the autocorrelation of order n is the same as order -n. So unless you have unit roots in your model, your question is a nonsense.
Best,
As you know, for a stationnary process, the autocorrelation function is an even function, i.e. the autocorrelation of order n is the same as order -n. So unless you have unit roots in your model, your question is a nonsense.
Best,
Sébastien Villemot
Economist at OFCE – Sciences Po
Economist at OFCE – Sciences Po
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