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Results tagged with time-series
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user 88850
Time series are data observed over time (either in continuous time or at discrete time periods).
6
votes
How to calculate impulse responses for a given autoregressive process?
Not sure if your equation is correct. I guess you meant
$$
y_t = \rho_1 y_{t-1} + \dots + \rho_p y_{t-p} + \epsilon_t
$$
In case of a AR(1) process you have to cast it into its MA($\infty$) (or 'cov …
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