How can I generate an AR(1) process with function filter.m?

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Sergio
Sergio 2014년 9월 23일
답변: Roger Wohlwend 2014년 9월 24일
I tried with this code, but I'm not sure about the result...
e=randn(500,1) b=[1 phi]; y=filter(b,1,e);
Note: phi is the coefficient of the lagged variable.

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Roger Wohlwend
Roger Wohlwend 2014년 9월 24일
You did not implement an AR(1) but an MA(1) process. It is not possible to generate an AR(1) process with the function filter. You have to do it with a for-loop - or use certain functions of the Econometrics toolbox.

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