The RATS Software Forum

Posted: **Mon Jul 12, 2010 10:22 am**

Dear User,

I have a problem: I'd like to estimate the PHI-coefficients of an AR(2) process using a non linear estimation. How can I tell RATS to do so?

Thank you very much in advance

protoss

Posted: **Mon Jul 12, 2010 11:18 am**

The options for this are described in section 5.5 (Serial Correlation) in the User's Guide. This example does AR(2) regressions (after some examples of AR(1)) done several different ways.

Program file:

grnp649.rpf: (2.58 KiB) Downloaded 122 times

Data file:

gasolinemarket.xls: (10.61 KiB) Downloaded 97 times

The RATS Software Forum

Non Linear Estimation - AR(2) process

Non Linear Estimation - AR(2) process

Re: Non Linear Estimation - AR(2) process