rcAR function

Estimating of Random-Coefficient AR Models

Estimate random-coefficient AR models.

rcAR(x, lags = c(1), include.mean = TRUE)

Arguments

• x: a time series of data.
• lags: the lag of AR models. This is more flexible than using order. It can skip unnecessary lags.
• include.mean: a logical value indicating whether the constant terms are included.

Returns

rcAR function returns a list with following components: - par: estimated parameters.

• se.est: standard errors.

• residuals: residuals.

• sresiduals: standardized residuals.

Examples

t=50
x=rnorm(t)
phi1=matrix(0.4,t,1)
for (i in 2:t){
   phi1[i]=0.7*phi1[i-1]+rnorm(1,0,0.1)
        x[i]=phi1[i]*x[i-1]+rnorm(1)
}
est=rcAR(x,1,FALSE)