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simulate unstable ar model

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mathxaz
mathxaz 2019년 6월 10일
Hello everyone!
For class I have to do a monte carlo simulation of an unstable AR process.
Unfortunately, when I program the model, it cannot estimate it since it is unstable:
alpha_1=0.7;
alpha_2 = 0.3;
alpha = [alpha_1 alpha_2]; %AR parameter
cons = (1 - alpha_1 - alpha_2)*2; %constant of the AR process
model = arima('constant',cons,'AR',alpha, 'variance', 1);
I get the following error message after the last row:
"Nonseasonal autoregressive polynomial is unstable."
Anyone knows how to handle this?
Thanks in advance.

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