Re: AR model

[estefaniame]

Thank you José! Nevertheless, it is difficult for me to understand it, as [b2 b1 b0] would be the same for a polynomial with degree 2 and for an AR(p=2) model. As the AR model is often represented by (1-b1*L-b2*L^2)*Yt, why something like [1 - b1 -b2] wold be wrong? 

Thank you beforehand.

El lun., 6 jul. 2020 a las 14:59, José Abílio Matos (<jaomatos@gmail.com>) escribió:

On Sunday, 5 July 2020 20.39.23 WEST estefaniame@gmail.com wrote:

> Thank you! I just want to calculate the roots of the associated polynomial

> to an autoregressive model. If I put [b2 b1 b0], wouldn't it be

> b2*x^2+b*x+b0?, as Octave represents polynomials from highest to lowest

> degree.

>

> Can you help me?

>

> Best,

>

> Estefanía

 

Yes

 

roots([b2 b1 b0])

 

is what you are looking for.

 

For those who could be confused with this consider a stationary time series, then Y_t=Y_(t-1) and so on, that is why it is stationary. :-)

 

--

José Matos